DISCOUNTED ADDITIVE-FUNCTIONALS OF MARKOV-PROCESSES

Authors
BAXTER M
Citation
M. Baxter, DISCOUNTED ADDITIVE-FUNCTIONALS OF MARKOV-PROCESSES, Annales de l'I.H.P. Probabilites et statistiques, 32(5), 1996, pp. 623-644
Citations number
12
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annales de l'I.H.P. Probabilites et statistiques → ACNP
ISSN journal
02460203
Volume
32
Issue
5
Year of publication
1996
Pages
623 - 644
Database
ISI
SICI code
0246-0203(1996)32:5<623:DAOM>2.0.ZU;2-Z
Abstract
When taking the long term time average of the occupation measure of a Markov process, traditionally the uniform time average has been used, In this paper, we derive results for more general average shapes, such as the exponential discount. We obtain large-deviation results and ev en stronger density asymptotics for small rates of discount. A strong law and a central limit theorem are also proved.