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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2005 Volume 50, Issue 3, Pages 612–622 (Mi tvp103)

This article is cited in 6 papers

Short Communications

A remark on a large deviation theorem for Markov chain with a finite number of states

Z. Szewczak

Nikolaus Copernicus University

Abstract: We consider the classic problem of large deviations for sums of random variables defined on the states of homogeneous Markov chain with finite phase space. The exact asymptotics for probabilities of large deviations of order $O(\sqrt n)$ is established. The proof is based on application of a local theorem of a new type.

Keywords: conjugate distribution, local theorem, spectrum perturbation, monotone $\varepsilon$-approximation.

Received: 11.10.2001

Language: English

DOI: 10.4213/tvp103


 English version:
Theory of Probability and its Applications, 2006, 50:3, 518–528

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