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Published in:
2019 | OriginalPaper | Chapter
6. Empirical Measure of a Markov Chain
Authors : Amarjit Budhiraja, Paul Dupuis
Published in: Analysis and Approximation of Rare Events
Publisher: Springer US
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Abstract
In this chapter we develop the large deviation theory for the empirical measure of a Markov chain, thus generalizing Sanov’s theorem from Chap. 3. The ideas developed here are useful in other contexts, such as proving sample path large deviation properties of processes with multiple time scales as described in Sect. 7.3.