عنوان

Analysis and approximation of rare events

شابک

9781493995790

شماره

E340

زبان متن نوشتاري يا گفتاري و مانند آن

انگلیسی

عنوان اصلي

Analysis and approximation of rare events

ساير اطلاعات عنواني

representations and weak convergence methods

نام نخستين پديدآور

Amarjit Budhiraja, Paul Dupuis

محل نشرو پخش و غیره

New York, NY

نام ناشر، پخش کننده و غيره

Springer

تاریخ نشرو بخش و غیره

2019

نام خاص و کميت اثر

xix, 574 p.

عنوان فروست

(Probability Theory and Stochastic Modelling

مشخصه جلد

v. 94)

متن يادداشت

Preliminaries and elementary examples -- Discrete time processes -- Continuous time processes -- Monte Carlo approximation

متن يادداشت

Includes bibliographical references and index

متن يادداشت

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

عنصر شناسه ای

Approximation theory

عنصر شناسه ای

Convergence

داده رابط بین فیلدها

a03

داده رابط بین فیلدها

a05

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Budhiraja, Amarjit

مستند نام اشخاص تاييد نشده

Dupuis, Paul

کشور

Iran

سازمان

University of Tehran. Library of College of Science

تاريخ عمليات

20211221

تاريخ و ساعت مذاکره و دسترسي

UT_SCI_BL_DB_1002486_0001.pdf

فرمت انتشار

e

نوع ماده

BL

کد کاربرگه

278840

سطح دسترسي

a

تكميل شده

Y