Journal of Applied Mathematics and Stochastic Analysis
Volume 7 (1994), Issue 3, Pages 423-436
Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case)
Institute for Problems of Information Transmission, Moscow, Russia
Received 1 February 1993; Revised 1 June 1993
Copyright © 1994 O. V. Gulinskii et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
We combine the Donsker and Varadhan large deviation principle (l.d.p) for
the occupation measure of a Markov process with certain results of Deuschel and
Stroock, to obtain the l.d.p. for unbounded functionals. Our approach relies on
the concept of exponential tightness and on the Puhalskii theorem. Three
illustrative examples are considered.