Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods - Couverture souple

Livre 27 sur 34: Probability Theory and Stochastic Modelling

Budhiraja, Amarjit ; Dupuis, Paul

9781493996223: Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods

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ISBN 10 : 1493996223 ISBN 13 : 9781493996223

Editeur : Springer-Verlag New York Inc., 2020

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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.

Les informations fournies dans la section � Synopsis � peuvent faire r�f�rence � une autre �dition de ce titre.

� propos de l?auteur

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.

Les informations fournies dans la section � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteur: Springer-Verlag New York Inc.
Date d'�dition: 2020
Langue: anglais
ISBN 10: 1493996223
ISBN 13: 9781493996223
Reliure: Broch�
Nombre de pages: 593
Coordonn�es du fabricant: Springer Nature Customer Service Center GmbH
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Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods (Probability Theory and Stochastic Modelling)

Budhiraja, Amarjit; Dupuis, Paul

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ISBN 10 : 1493996223 ISBN 13 : 9781493996223

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Analysis and Approximation of Rare Events

Amarjit Budhiraja, Paul Dupuis

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ISBN 10 : 1493996223 ISBN 13 : 9781493996223

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Analysis and Approximation of Rare Events

Paul Dupuis

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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 596 pp. Englisch. N� de r�f. du vendeur 9781493996223

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Analysis and Approximation of Rare Events (eng)

Budhiraja, Amarjit

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ISBN 10 : 1493996223 ISBN 13 : 9781493996223

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

Amarjit Budhiraja

Edit� par Springer-Verlag New York Inc., 2020

ISBN 10 : 1493996223 ISBN 13 : 9781493996223

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Paperback / softback. Etat : New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days 184. N� de r�f. du vendeur C9781493996223

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Analysis and Approximation of Rare Events

Amarjit Budhiraja, Paul Dupuis

Edit� par Springer-Verlag New York Inc., US, 2020

ISBN 10 : 1493996223 ISBN 13 : 9781493996223

Neuf Paperback

Vendeur : Rarewaves.com UK, London, Royaume-Uni

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Paperback. Etat : New. 2019 ed. 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. N� de r�f. du vendeur LU-9781493996223

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Analysis and Approximation of Rare Events

Amarjit Budhiraja|Paul Dupuis

Edit� par Springer US, 2020

ISBN 10 : 1493996223 ISBN 13 : 9781493996223

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Kartoniert / Broschiert. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Illustrates &nbspthe use of these methods using a wide variety of discrete and continuous time modelsTimely and important topic with significant developments over the&nbsplast 15 yearsIncludes both theory and links with applications. N� de r�f. du vendeur 447958367

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

Paul Dupuis

Edit� par Springer US, Springer US, 2020

ISBN 10 : 1493996223 ISBN 13 : 9781493996223

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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N� de r�f. du vendeur 9781493996223

Contacter le vendeur