Geodesic
One-dimensional Asymptotically Homogeneous Markov Chains: Cram\'er Transform and Large Deviation Probabilities
Matematičeskie trudy, Tome 6 (2003) no. 2, pp. 102-143

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We consider a time-homogeneous ergodic Markov chain $\{X_n\}$ that takes values on the real line and has asymptotically homogeneous increments at infinity. We assume that the “limit jump” $\xi$ of $\{X_n\}$ has negative mean and satisfies the Cramér condition, i.e., the equation $\Bbb E\,e^{\beta\xi}=1$ has positive solution $\beta$. The asymptotic behavior of the probability $\mathbb P\{X_n>x\}$ is studied as $n\to\infty$ and $x\to\infty$. In particular, we distinguish the ranges of time $n$ where this probability is asymptotically equivalent to the tail of a stationary distribution. 
@article{MT_2003_6_2_a4,
     author = {D. A. Korshunov},
     title = {One-dimensional {Asymptotically} {Homogeneous} {Markov} {Chains:} {Cram\'er} {Transform} and {Large} {Deviation} {Probabilities}},
     journal = {Matemati\v{c}eskie trudy},
     pages = {102--143},
     publisher = {mathdoc},
     volume = {6},
     number = {2},
     year = {2003},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MT_2003_6_2_a4/}
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D. A. Korshunov. One-dimensional Asymptotically Homogeneous Markov Chains: Cram\'er Transform and Large Deviation Probabilities. Matematičeskie trudy, Tome 6 (2003) no. 2, pp. 102-143. http://geodesic.mathdoc.fr/item/MT_2003_6_2_a4/