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A Weak Convergence Approach to the Theory of Large Deviations

2011-09-09 Mathematics
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Release : 2011-09-09
Genre : Mathematics
Kind : eBook
Book Rating : 896/5 ( reviews)

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Book Synopsis A Weak Convergence Approach to the Theory of Large Deviations by : Paul Dupuis

Download or read book A Weak Convergence Approach to the Theory of Large Deviations written by Paul Dupuis. This book was released on 2011-09-09. Available in PDF, EPUB and Kindle. Book excerpt: Applies the well-developed tools of the theory of weak convergenceof probability measures to large deviation analysis--a consistentnew approach The theory of large deviations, one of the most dynamic topics inprobability today, studies rare events in stochastic systems. Thenonlinear nature of the theory contributes both to its richness anddifficulty. This innovative text demonstrates how to employ thewell-established linear techniques of weak convergence theory toprove large deviation results. Beginning with a step-by-stepdevelopment of the approach, the book skillfully guides readersthrough models of increasing complexity covering a wide variety ofrandom variable-level and process-level problems. Representationformulas for large deviation-type expectations are a key tool andare developed systematically for discrete-time problems. Accessible to anyone who has a knowledge of measure theory andmeasure-theoretic probability, A Weak Convergence Approach to theTheory of Large Deviations is important reading for both studentsand researchers.

A Weak Convergence Approach to the Theory of Large Deviations

1997-02-27 Mathematics
Download A Weak Convergence Approach to the Theory of Large Deviations PDF Online Free

Author :
Release : 1997-02-27
Genre : Mathematics
Kind : eBook
Book Rating : 728/5 ( reviews)

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Book Synopsis A Weak Convergence Approach to the Theory of Large Deviations by : Paul Dupuis

Download or read book A Weak Convergence Approach to the Theory of Large Deviations written by Paul Dupuis. This book was released on 1997-02-27. Available in PDF, EPUB and Kindle. Book excerpt: Applies the well-developed tools of the theory of weak convergenceof probability measures to large deviation analysis--a consistentnew approach The theory of large deviations, one of the most dynamic topics inprobability today, studies rare events in stochastic systems. Thenonlinear nature of the theory contributes both to its richness anddifficulty. This innovative text demonstrates how to employ thewell-established linear techniques of weak convergence theory toprove large deviation results. Beginning with a step-by-stepdevelopment of the approach, the book skillfully guides readersthrough models of increasing complexity covering a wide variety ofrandom variable-level and process-level problems. Representationformulas for large deviation-type expectations are a key tool andare developed systematically for discrete-time problems. Accessible to anyone who has a knowledge of measure theory andmeasure-theoretic probability, A Weak Convergence Approach to theTheory of Large Deviations is important reading for both studentsand researchers.

Large Deviations and Idempotent Probability

2001-05-07 Business & Economics
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Release : 2001-05-07
Genre : Business & Economics
Kind : eBook
Book Rating : 800/5 ( reviews)

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Book Synopsis Large Deviations and Idempotent Probability by : Anatolii Puhalskii

Download or read book Large Deviations and Idempotent Probability written by Anatolii Puhalskii. This book was released on 2001-05-07. Available in PDF, EPUB and Kindle. Book excerpt: In the view of many probabilists, author Anatolii Puhalskii's research results stand among the most significant achievements in the modern theory of large deviations. In fact, his work marked a turning point in the depth of our understanding of the connections between the large deviation principle (LDP) and well-known methods for establishing weak

A Weak Convergence Approach to the Theory of Large Deviations

1997-02-27 Mathematics
Download A Weak Convergence Approach to the Theory of Large Deviations PDF Online Free

Author :
Release : 1997-02-27
Genre : Mathematics
Kind : eBook
Book Rating : 728/5 ( reviews)

GET EBOOK


Book Synopsis A Weak Convergence Approach to the Theory of Large Deviations by : Paul Dupuis

Download or read book A Weak Convergence Approach to the Theory of Large Deviations written by Paul Dupuis. This book was released on 1997-02-27. Available in PDF, EPUB and Kindle. Book excerpt: Applies the well-developed tools of the theory of weak convergenceof probability measures to large deviation analysis--a consistentnew approach The theory of large deviations, one of the most dynamic topics inprobability today, studies rare events in stochastic systems. Thenonlinear nature of the theory contributes both to its richness anddifficulty. This innovative text demonstrates how to employ thewell-established linear techniques of weak convergence theory toprove large deviation results. Beginning with a step-by-stepdevelopment of the approach, the book skillfully guides readersthrough models of increasing complexity covering a wide variety ofrandom variable-level and process-level problems. Representationformulas for large deviation-type expectations are a key tool andare developed systematically for discrete-time problems. Accessible to anyone who has a knowledge of measure theory andmeasure-theoretic probability, A Weak Convergence Approach to theTheory of Large Deviations is important reading for both studentsand researchers.

Analysis and Approximation of Rare Events

2019-08-10 Mathematics
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Release : 2019-08-10
Genre : Mathematics
Kind : eBook
Book Rating : 790/5 ( reviews)

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Book Synopsis Analysis and Approximation of Rare Events by : Amarjit Budhiraja

Download or read book Analysis and Approximation of Rare Events written by Amarjit Budhiraja. This book was released on 2019-08-10. Available in PDF, EPUB and Kindle. Book excerpt: This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. A feature of the book is the systematic use of variational representations for quantities of interest such as normalized logarithms of probabilities and expected values. By characterizing a large deviation principle in terms of Laplace asymptotics, one converts the proof of large deviation limits into the convergence of variational representations. These features are illustrated though their application to a broad range of discrete and continuous time models, including stochastic partial differential equations, processes with discontinuous statistics, occupancy models, and many others. The tools used in the large deviation analysis also turn out to be useful in understanding Monte Carlo schemes for the numerical approximation of the same probabilities and expected values. This connection is illustrated through the design and analysis of importance sampling and splitting schemes for rare event estimation. The book assumes a solid background in weak convergence of probability measures and stochastic analysis, and is suitable for advanced graduate students, postdocs and researchers.

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