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

by Paul Dupuis and Amarjit Budhiraja

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 1493996223
• ISBN13: 9781493996223
• Release Date: August 2020
• Publisher: Springer
• Length: 574 Pages
• Weight: 1.81 lbs.
• Dimensions: 1.2" x 6.1" x 9.2"