Analysis and Approximation of Rare Events: Representations and Weak Convergence

Description: Analysis and Approximation of Rare Events by Amarjit Budhiraja, Paul Dupuis Estimated delivery 3-12 business days Format Hardcover Condition Brand New Description 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. Publisher Description 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. Author Biography 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. Details ISBN 1493995774 ISBN-13 9781493995776 Title Analysis and Approximation of Rare Events Author Amarjit Budhiraja, Paul Dupuis Format Hardcover Year 2019 Pages 574 Edition 1st Publisher Springer-Verlag New York Inc. GE_Item_ID:140304667; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. Additional Questions If you have any questions please feel free to Contact Us. Categories Baby Books Electronics Fashion Games Health & Beauty Home, Garden & Pets Movies Music Sports & Outdoors Toys

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End Time: 2024-11-27T07:21:47.000Z

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