Budhiraja Amarjit, Dupuis Paul Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods 9781493995776

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Автор: Budhiraja Amarjit, Dupuis Paul
Название: Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods
ISBN: 9781493995776
Издательство: Springer
Классификация:

Вычислительная математика

Вероятность и статистика

Стохастика

Математика для инженеров

ISBN-10: 1493995774
Обложка/Формат: Hardcover
Страницы: 574
Вес: 1.00 кг.
Дата издания: 11.08.2019
Серия: Probability theory and stochastic modelling
Язык: English
Издание: 1st ed. 2019
Иллюстрации: 1 illustrations, color; 13 illustrations, black and white; xix, 582 p. 14 illus., 1 illus. in color.
Размер: 234 x 156 x 33
Читательская аудитория: Professional & vocational
Подзаголовок: Representations and weak convergence methods
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: 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.
Дополнительное описание: Preliminaries and elementary examples.- Discrete time processes.- Continuous time processes.- Monte Carlo approximation.?

Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods, Budhiraja Amarjit, Dupuis Paul