89 citations
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math.PR2004★ 41 cited
Optimal Hoeffding bounds for discrete reversible Markov chains
Carlos A. Leon, Francois Perron
We build optimal exponential bounds for the probabilities of large deviations of sums \sum_{k=1}^nf(X_k) where (X_k) is a finite reversible Markov chain and f is an arbitrary bound…
math.PR2004★ 10 cited
A homing problem for diffusion processes with control-dependent variance
Mario Lefebvre
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval loc…