Analysis and Approximation of Rare Events is popular PDF and ePub book, written by Amarjit Budhiraja in 2019-08-10, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Analysis and Approximation of Rare Events can be Read Online from any device for your convenience.
Analysis and Approximation of Rare Events Book PDF Summary
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.
Detail Book of Analysis and Approximation of Rare Events PDF
- Author : Amarjit Budhiraja
- Release : 10 August 2019
- Publisher : Springer
- ISBN : 9781493995790
- Genre : Mathematics
- Total Page : 574 pages
- Language : English
- PDF File Size : 13,5 Mb
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