Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534

Abstract : We study exponentially asymptotic behaviors for the trajectories of additive functionals of Harris Markov chains. In the main result, we establish a moderate deviation jointed by two additive functionals of different growth rates. In particular, we achieve the functional moderate deviations in two different scales. As application, we obtain a functional law of LIL, which leads to a variety of strong limit laws in the spirit of Strassen (1964).

THE FUNCTIONAL MODERATE DEVIATIONS FOR HARRIS RECURRENT MARKOV CHAINS AND APPLICATIONS

CHEN Xia, GUILLIN Arnaud

2002-3

04-03-2002

http://www.ceremade.dauphine.fr/preprint/CMD/2002-3.ps

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