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Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods Hardback - 2019
by Budhiraja, Amarjit/ Dupuis, Paul
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- Hardback
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Details
- Title Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods
- Author Budhiraja, Amarjit/ Dupuis, Paul
- Binding Hardback
- Condition New
- Pages 574
- Volumes 1
- Language ENG
- Publisher Springer Verlag
- Publication date 2019
- Illustrated Yes
- Features Illustrated
- Bookseller's Inventory # x-1493995774
- ISBN 9781493995776 / 1493995774
- Weight 2.22 lbs (1.01 kg)
- Dimensions 9.21 x 6.14 x 1.31 in (23.39 x 15.60 x 3.33 cm)
- Category Mathematics
- Dewey Decimal Code 518
- Quantity available 2
About Revaluation Books Devon, United Kingdom
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General bookseller of both fiction and non-fiction.
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From the publisher
From the rear cover
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 thedesign 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.
