A nonstandard form of the rate function for the occupation measure of a Markov chain

doi:10.1016/0304-4149(95)00084-4

Stochastic Processes and their Applications

Volume 61, Issue 2, February 1996, Pages 249-261

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Abstract

We investigate, by means of an example, the large deviations principle for the empirical measure of a Markov chain when Feller continuity properties are not assumed. Using the weak convergence approach, we explicitly compute the resulting rate function, and find that it is not of the Donsker-Varadhan form.

Keywords

Large deviations

Markov chains

Occupation measure

Weak convergence

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¹: The work of this author was supported in part by NSF grant DMS-9403820.

²: The work of this author was done while he visited MIT, under support from NSF grant DMS-9302709.