Large deviations for a random walk model with state-dependent noise
The published version is located at http://epubs.siam.org/sicon/resource/1/sjcodc/v42/i3/p810_s1
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.
M Boue, D Hernandez-Hernandez, and RS Ellis. "Large deviations for a random walk model with state-dependent noise" Siam Journal On Control And Optimization 42.3 (2003): 810-838.
Available at: http://works.bepress.com/richard_ellis/33
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