Large Deviations for Stochastic Processes - Couverture souple

Feng, Jin; Kurtz, Thomas G.

Couverture souple

ISBN 10 : 1470418703 ISBN 13 : 9781470418700

Editeur : American Mathematical Society, 2006

Synopsis

The book is devoted to the results on large deviations for a class of stochastic processes. Following an introduction and overview, the material is presented in three parts. Part 1 gives necessary and sufficient conditions for exponential tightness that are analogous to conditions for tightness in the theory of weak convergence. Part 2 focuses on Markov processes in metric spaces. For a sequence of such processes, convergence of Fleming's logarithmically transformed nonlinear semigroups is shown to imply the large deviation principle in a manner analogous to the use of convergence of linear semigroups in weak convergence. Viscosity solution methods provide applicable conditions for the necessary convergence. Part 3 discusses methods for verifying the comparison principle for viscosity solutions and applies the general theory to obtain a variety of new and known results on large deviations for Markov processes. In examples concerning infinite dimensional state spaces, new comparison principles are derived for a class of Hamilton-Jacobi equations in Hilbert spaces and in spaces of probability measures.

A propos du livre

À propos de l'auteur

Jin Feng, University of Kansas, Lawrence, KS.

Thomas G. Kurtz, University of Wisconsin at Madison, Madison, WI.

Détails de l'édition

• Éditeur: American Mathematical Society
• Date d'édition: 2006
• Langue: anglais
• ISBN 10: 1470418703
• ISBN 13: 9781470418700
• Reliure: Broché
• Nombre de pages: 410
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible