Large deviations for a random walk model with state-dependent noise

Authors

M Boue
D Hernandez-Hernandez
RS Ellis, University of Massachusetts - AmherstFollow

Publication Date

2003

Journal or Book Title

SIAM JOURNAL ON CONTROL AND OPTIMIZATION

Abstract

In this paper we prove the large deviation principle for a class of random walks with state-dependent noise. This type of model has important applications in queueing and communication theory and in the area of stochastic approximation.

Comments

The published version is located at http://epubs.siam.org/sicon/resource/1/sjcodc/v42/i3/p810_s1

Pages

810-838

Volume

42

Issue

3

Recommended Citation

Boue, M; Hernandez-Hernandez, D; and Ellis, RS, "Large deviations for a random walk model with state-dependent noise" (2003). SIAM JOURNAL ON CONTROL AND OPTIMIZATION. 331.
Retrieved from https://scholarworks.umass.edu/math_faculty_pubs/331