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On Large Deviation Convergence of Invariant Measures

Author

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  • Anatolii A. Puhalskii

    (University of Colorado at Denver, Campus Box 170
    Institute for Problems in Information Transmission)

Abstract

We present new results on the connection between large deviation principles for trajectories of stochastic processes and the associated invariant measures. Applications to diffusion and queuing processes are provided.

Suggested Citation

  • Anatolii A. Puhalskii, 2003. "On Large Deviation Convergence of Invariant Measures," Journal of Theoretical Probability, Springer, vol. 16(3), pages 689-724, July.
    • Handle: RePEc:spr:jotpro:v:16:y:2003:i:3:d:10.1023_a:1025624600545
    DOI: 10.1023/A:1025624600545
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    References listed on IDEAS

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    1. Veretennikov, A. Yu., 1997. "On polynomial mixing bounds for stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 115-127, October.
    2. Ward Whitt, 1980. "Some Useful Functions for Functional Limit Theorems," Mathematics of Operations Research, INFORMS, vol. 5(1), pages 67-85, February.
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