Large deviation asymptotics and control variates for simulating large functions

Consider the normalized partial sums of a real-valued function $F$ of a Markov chain, $$\phi_n:=n^{-1}\sum_{k=0}^{n-1}F(\Phi(k)),\qquad n\ge1.$$ The chain $\{\Phi(k):k\ge0\}$ takes values in a general state space $\mathsf {X}$, with transition kernel $P$, and it is assumed that the Lyapunov drift condition holds: $PV\le V-W+b\mathbb{I}_C$ where $V:\mathsf {X}\to(0,\infty)$, $W:\mathsf {X}\to[1,\infty)$, the set $C$ is small and $W$ dominates $F$. Under these assumptions, the following conclusions are obtained: 1. It is known that this drift condition is equivalent to the existence of a unique invariant distribution $\pi$ satisfying $\pi(W)<\infty$, and the law of large numbers holds for any function $F$ dominated by $W$: $$\phi_n\to\phi:=\pi(F),\qquad{a.s.}, n\to\infty.$$ 2. The lower error probability defined by $\mathsf {P}\{\phi_n\le c\}$, for $c<\phi$, $n\ge1$, satisfies a large deviation limit theorem when the function $F$ satisfies a monotonicity condition. Under additional minor conditions an exact large deviations expansion is obtained. 3. If $W$ is near-monotone, then control-variates are constructed based on the Lyapunov function $V$, providing a pair of estimators that together satisfy nontrivial large asymptotics for the lower and upper error probabilities. In an application to simulation of queues it is shown that exact large deviation asymptotics are possible even when the estimator does not satisfy a central limit theorem.Comment: Published at http://dx.doi.org/10.1214/105051605000000737 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Ergodicity of a stress release point process seismic model with aftershocks

We prove ergodicity of a point process earthquake model combining the classical stress release model for primary shocks with the Hawkes model for aftershocks.Comment: 20 page