Analysis and Approximation of Rare Events

Representations and Weak Convergence Methods

AvAmarjit Budhiraja,Paul Dupuis

Inbunden, Engelska, 2019

Del i serien Probability Theory and Stochastic Modelling

898 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt över 249 kr.

Fler format och utgåvor

Häftad

898 kr

Beskrivning

This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. 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.

Produktinformation

Utgivningsdatum:2019-08-11
Mått:155 x 235 x 38 mm
Vikt:1 051 g
Format:Inbunden
Språk:Engelska
Serie:Probability Theory and Stochastic Modelling
Antal sidor:574
Förlag:Springer-Verlag New York Inc.
ISBN:9781493995776

Utforska kategorier

Mer om författaren

Amarjit Budhiraja is a Professor of Statistics and Operations Research at the University of North Carolina at Chapel Hill. He is a Fellow of the IMS. His research interests include stochastic analysis, the theory of large deviations, stochastic networks and stochastic nonlinear filtering.Paul Dupuis is the IBM Professor of Applied Mathematics at Brown University and a Fellow of the AMS, SIAM and IMS. His research interests include stochastic control, the theory of large deviations and numerical methods.

Recensioner i media

“The book is very well organized and the structure of each chapter is helpful: notation, assumptions, statements, examples, proofs and comments are clearly separated. … this makes the book a good reference for researchers interested in rare event analysis and approximation.” (‪Charles-Edouard Bréhier, Mathematical Reviews, August, 2020)“The current book requires a solid background in weak convergence of probability measures and stochastic analysis, and it is intended for advanced graduate students, post-doctoral fellows and researchers working in this area.” (Anatoliy Swishchuk, zbMATH 1427.60003, 2020)