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Large Deviation Bounds for Markov Chains

    • Published online: 01 December 1997

We study the fraction of time that a Markov chain spends in a given subset of states. We give an exponential bound on the probability that it exceeds its expectation by a constant factor. Our bound depends on the mixing properties of the chain, and is asymptotically optimal for a certain class of Markov chains. It beats the best previously known results in this direction. We present an application to the leader election problem.

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Combinatorics, Probability and Computing
  • ISSN: 0963-5483
  • EISSN: 1469-2163
  • URL: /core/journals/combinatorics-probability-and-computing
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