Analysis and approximation of rare events: representations and weak convergence methods
Auteur :
Budhiraja, Amarjit / Dupuis, Paul
Éditeur :
Springer-Verlag New York Inc.
ISBN :
9781493996223
Date de publication :
15 août 2020
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
USA
This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. 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.