Multiplicative ergodicity and large deviations for an irreducible Markov chain

Document Type

Article

Publication Date

1-1-2000

Abstract

The paper examines multiplicative ergodic theorems and the related multiplicative Poisson equation for an irreducible Markov chain on a countable state space. The partial products are considered for a real-valued function on the state space. If the function of interest satisfies a monotone condition, or is dominated by such a function, then (i) The mean normalized products converge geometrically quickly to a finite limiting value. (ii) The multiplicative Poisson equation admits a solution. (iii) Large deviation bounds are obtainable for the empirical measures. © 2000 Elsevier Science B.V. All rights reserved.

Identifier

0002801896 (Scopus)

Publication Title

Stochastic Processes and their Applications

External Full Text Location

https://doi.org/10.1016/S0304-4149(00)00032-6

ISSN

03044149

First Page

123

Last Page

144

Issue

1

Volume

90

Grant

N00014-90-J-1270

Fund Ref

National Science Foundation

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