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The Resource Analysis and Approximation of Rare Events : Representations and Weak Convergence Methods, by Amarjit Budhiraja, Paul Dupuis, (electronic resource)

Analysis and Approximation of Rare Events : Representations and Weak Convergence Methods, by Amarjit Budhiraja, Paul Dupuis, (electronic resource)

Label
Analysis and Approximation of Rare Events : Representations and Weak Convergence Methods
Title
Analysis and Approximation of Rare Events
Title remainder
Representations and Weak Convergence Methods
Statement of responsibility
by Amarjit Budhiraja, Paul Dupuis
Creator
Contributor
Author
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Budhiraja, Amarjit
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Dupuis, Paul
Series statement
  • Probability Theory and Stochastic Modelling,
  • Springer eBooks.
Series volume
94
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Engineering mathematics
  • Numerical analysis
Label
Analysis and Approximation of Rare Events : Representations and Weak Convergence Methods, by Amarjit Budhiraja, Paul Dupuis, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-1-4939-9579-0
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Preliminaries and elementary examples -- Discrete time processes -- Continuous time processes -- Monte Carlo approximation
Control code
978-1-4939-9579-0
Dimensions
unknown
Edition
1st ed. 2019.
Extent
1 online resource (XIX, 574 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781493995790
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
14 illustrations, 1 illustration in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1112419403
Label
Analysis and Approximation of Rare Events : Representations and Weak Convergence Methods, by Amarjit Budhiraja, Paul Dupuis, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-1-4939-9579-0
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Preliminaries and elementary examples -- Discrete time processes -- Continuous time processes -- Monte Carlo approximation
Control code
978-1-4939-9579-0
Dimensions
unknown
Edition
1st ed. 2019.
Extent
1 online resource (XIX, 574 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781493995790
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
14 illustrations, 1 illustration in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1112419403

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