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A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain

1999; Elsevier BV; Volume: 41; Issue: 2 Linguagem: Inglês

10.1016/s0167-7152(98)00124-2

1879-2103

Paolo Baldi, Mauro Piccioni,

Stochastic processes and financial applications

We prove a representation formula for the rate function of the Large Deviation Principle for the empirical distribution of an irreducible continuous time Markov process on a finite state space. We use this representation to characterize asymptotically efficient intensities for the Monte Carlo evaluation of probabilities of a large deviation for the empirical distribution.