The strong deviation theorem for discrete-time and continuous-state nonhomogeneous Markov chains
Bei Wang, Zhiyan Shi · Journal of Inequalities and Applications · 2013
In this paper, the notion of asymptotic average log-likelihood ratio, as a measure of the difference between the sequence of random variables and Markov chains, is introduced, and by constructing a nonnegative martingale, the strong deviation theorem for discrete-time and continuous-state nonhomogeneous Markov chains is established.