Large deviations for possibly reducible Markov chains on discrete state spaces

Abstract

We study the large deviations of Markov chains under the sole assumption that the state space is discrete. In particular, we do not require any of the usual irreducibility and exponential tightness assumptions. Using subadditive arguments, we provide an elementary and self-contained proof of the level-2 and level-3 large deviation principles. Due to the possible reducibility of the Markov chain, the rate functions may be nonconvex and may differ, outside a specific set, from the Donsker-Varadhan entropy and other classical rate functions.