عنوان

Analysis and Approximation of Rare Events :

شابک

1493995790

شابک

9781493995790

شابک اشتباه

9781493995776

عنوان اصلي

Analysis and Approximation of Rare Events :

نام عام مواد

[Book]

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

1 online resource (577 pages)

عنوان فروست

Probability Theory and Stochastic Modelling Ser. ;

مشخصه جلد

v. 94

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

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

بدون عنوان

0

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.

منبع سفارش / آدرس اشتراک

Springer Nature

شماره انبار

com.springer.onix.9781493995790

عنوان

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

شماره استاندارد بين المللي کتاب و موسيقي

9781493995776

موضوع مستند نشده

Approximation theory.

موضوع مستند نشده

Convergence.

موضوع مستند نشده

Approximation theory.

موضوع مستند نشده

Convergence.

شماره

ويراست

شماره رده

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Budhiraja, Amarjit.

مستند نام اشخاص تاييد نشده

Dupuis, Paul.

تاريخ عمليات

20200823035233.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y