Analysis and Approximation of Rare Events Representations and Weak Convergence Methods /

• Main Authors: Budhiraja, Amarjit (Author, http://id.loc.gov/vocabulary/relators/aut), Dupuis, Paul (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer US : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Series: Probability Theory and Stochastic Modelling, 94
• Subjects: Probabilities.; Applied mathematics.; Engineering mathematics.; Numerical analysis.; Probability Theory and Stochastic Processes.; Mathematical and Computational Engineering.; Numerical Analysis.

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 probabiliti...

Table of Contents:

• Preliminaries and elementary examples
• Discrete time processes
• Continuous time processes
• Monte Carlo approximation.