Large deviations of Markov chains with multiple time-scales
Probability
2020-12-29 v2
Abstract
For Markov processes evolving on multiple time-scales a combination of large component scalings and averaging of rapid fluctuations can lead to useful limits for model approximation. A general approach to proving a law of large numbers to a deterministic limit and a central limit theorem around it have already been proven in [16] and [17]. We present here a general approach to proving a large deviation principle in path space for such multi-scale Markov processes. Motivated by models arising in systems biology, we apply these large deviation results to general chemical reaction systems which exhibit multiple time-scales, and provide explicit calculations for several relevant examples.
Cite
@article{arxiv.1709.09275,
title = {Large deviations of Markov chains with multiple time-scales},
author = {Lea Popovic},
journal= {arXiv preprint arXiv:1709.09275},
year = {2020}
}
Comments
45 pages (Lemma 3.7 corrected)