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Some familiar examples for which the large deviation principle does not hold

 

作者: J. R. Baxter,   N. C. Jain,   S. R. S. Varadhan,  

 

期刊: Communications on Pure and Applied Mathematics  (WILEY Available online 1991)
卷期: Volume 44, issue 8‐9  

页码: 911-923

 

ISSN:0010-3640

 

年代: 1991

 

DOI:10.1002/cpa.3160440806

 

出版商: Wiley Subscription Services, Inc., A Wiley Company

 

数据来源: WILEY

 

摘要:

AbstractFor a class of Markov processes (in continuous or discrete time) we show that if the full large deviation holds for normalized occupation time measuresLt(w, ˙) with some rate functionJ, then the lower semicontinuous regularization ofJmust agree with the rate functionIintroduced by M. D. Donsker and S. R. S. Varadhan. As a consequence we show that for processes such as Brownian motion the full large deviation principle forLt(w, ˙) cannot hold withanyrate functio

 

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