ENGLISH

Analysis and Approximation of Rare Events

By A. Budhiraja , P. Dupuis

Book information

Publisher
Springer
Year
2019
ISBN
978-1-4939-9577-6
Language
english
Format
PDF
Filesize
7 MB (7003709 bytes)
Series
Probability Theory and Stochastic Modelling 94
Edition
1
Pages
577\577
Time added
2019-08-11 16:35:21

Description

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. Front Matter ....Pages i-xix Front Matter ....Pages 1-1 General Theory (Amarjit Budhiraja, Paul Dupuis)....Pages 3-29 Relative Entropy and Tightness of Measures (Amarjit Budhiraja, Paul Dupuis)....Pages 31-47 Examples of Representations and Their Application (Amarjit Budhiraja, Paul Dupuis)....Pages 49-76 Front Matter ....Pages 77-78 Recursive Markov Systems with Small Noise (Amarjit Budhiraja, Paul Dupuis)....Pages 79-117 Moderate Deviations for Recursive Markov Systems (Amarjit Budhiraja, Paul Dupuis)....Pages 119-149 Empirical Measure of a Markov Chain (Amarjit Budhiraja, Paul Dupuis)....Pages 151-179 Models with Special Features (Amarjit Budhiraja, Paul Dupuis)....Pages 181-207 Front Matter ....Pages 209-210 Representations for Continuous Time Processes (Amarjit Budhiraja, Paul Dupuis)....Pages 211-244 Abstract Sufficient Conditions for Large and Moderate Deviations in the Small Noise Limit (Amarjit Budhiraja, Paul Dupuis)....Pages 245-260 Large and Moderate Deviations for Finite Dimensional Systems (Amarjit Budhiraja, Paul Dupuis)....Pages 261-294 Systems Driven by an Infinite Dimensional Brownian Noise (Amarjit Budhiraja, Paul Dupuis)....Pages 295-318 Stochastic Flows of Diffeomorphisms and Image Matching (Amarjit Budhiraja, Paul Dupuis)....Pages 319-342 Models with Special Features (Amarjit Budhiraja, Paul Dupuis)....Pages 343-380 Front Matter ....Pages 381-382 Rare Event Monte Carlo and Importance Sampling (Amarjit Budhiraja, Paul Dupuis)....Pages 383-412 Performance of an IS Scheme Based on a Subsolution (Amarjit Budhiraja, Paul Dupuis)....Pages 413-437 Multilevel Splitting (Amarjit Budhiraja, Paul Dupuis)....Pages 439-469 Examples of Subsolutions and Their Application (Amarjit Budhiraja, Paul Dupuis)....Pages 471-508 Back Matter ....Pages 509-574

Similar books

Session C11: Ancient Cultural Landscapes in South Europe – their Ecological Setting and Evolution, Session C22: Gardeners from South America, Session S04: Agro-Pastoralism and Early Metallurgy Sessions, Session WS29: The Idea of Enclosure in Recent Iberian Prehistory, Session C88: Rhytmes et causalites des dynamiques de l'anthropisation en Europe entre 6500 ET 500 BC: Hypotheses socio-culturelles et/ou climatiques: Proceedings of the XV UISPP World Congress (Lisbon 4-9 September 2006) / Actes du XV Congrès Mondial (Lisbonne 4-9 Septembre 2006) Vol.36

Session C11: Ancient Cultural Landscapes in South Europe – their Ecological Setting and Evolution, Session C22: Gardeners from South America, Session S04: Agro-Pastoralism and Early Metallurgy Sessions, Session WS29: The Idea of Enclosure in Recent Iberian Prehistory, Session C88: Rhytmes et causalites des dynamiques de l'anthropisation en Europe entre 6500 ET 500 BC: Hypotheses socio-culturelles et/ou climatiques: Proceedings of the XV UISPP World Congress (Lisbon 4-9 September 2006) / Actes du XV Congrès Mondial (Lisbonne 4-9 Septembre 2006) Vol.36

2010 · PDF

THE BRITISH ARMY IN INDIA: ITS PRESERVATION BY AN APPROPRIATE CLOTHING, HOUSING, LOCATING, RECREATIVE EMPLOYMENT, AND HOPEFUL ENCOURAGEMENT OF THE TROOPS. with AN APPENDIX ON INDIA : THE CLIMATE OP ITS HILLS ; THE DEVELOPMENT OF ITS RESODRCBS, INDUSTRY, AND ARTS ; THE ADMINISTRATION OF JUSTICE ; THE BLACK ACT ; THE PROGRESS OF CHRISTIANITY ; THE TRAFFIC IN OPIUM ; THE VALUE OF INDIA ; PERMANENT CAUSES OF DISAFFECTION, AND OF THE RECENT REBELLION ; THE TRADITIONARY POLICY; MISGOVERNMENT BY NATIVE RULERS ; ANNEXATIONS OF THEIR TERRITORY, ETC.

THE BRITISH ARMY IN INDIA: ITS PRESERVATION BY AN APPROPRIATE CLOTHING, HOUSING, LOCATING, RECREATIVE EMPLOYMENT, AND HOPEFUL ENCOURAGEMENT OF THE TROOPS. with AN APPENDIX ON INDIA : THE CLIMATE OP ITS HILLS ; THE DEVELOPMENT OF ITS RESODRCBS, INDUSTRY, AND ARTS ; THE ADMINISTRATION OF JUSTICE ; THE BLACK ACT ; THE PROGRESS OF CHRISTIANITY ; THE TRAFFIC IN OPIUM ; THE VALUE OF INDIA ; PERMANENT CAUSES OF DISAFFECTION, AND OF THE RECENT REBELLION ; THE TRADITIONARY POLICY; MISGOVERNMENT BY NATIVE RULERS ; ANNEXATIONS OF THEIR TERRITORY, ETC.

1858 · PDF

Idries Shah 27 Books Collection : A Perfumed Scorpion, A Veiled Gazelle, Caravan of Dreams, Darkest England, Destination Mecca, Evenings with Idries Shah, Knowing How to Know, Learning How to Learn, Letters and Lectures of Idries Shah, Neglected aspects of Sufi study, Observations, Oriental Magic, Reflections, Seeker after Truth, Special Illumination, Special Problems in the study of Sufi ideas, Sufi thought and action, Tales of the Dervishes, The Dermis Probe, The Elephant in the Dark, The Englishman Handbook, Idries Shah Antology, The Magic Monastery, The natives are restless, wisdom of the Idiots PDF.

Idries Shah 27 Books Collection : A Perfumed Scorpion, A Veiled Gazelle, Caravan of Dreams, Darkest England, Destination Mecca, Evenings with Idries Shah, Knowing How to Know, Learning How to Learn, Letters and Lectures of Idries Shah, Neglected aspects of Sufi study, Observations, Oriental Magic, Reflections, Seeker after Truth, Special Illumination, Special Problems in the study of Sufi ideas, Sufi thought and action, Tales of the Dervishes, The Dermis Probe, The Elephant in the Dark, The Englishman Handbook, Idries Shah Antology, The Magic Monastery, The natives are restless, wisdom of the Idiots PDF.

2022 · PDF

The travels of Capts. Lewis and Clarke from St. Louis, by way of the Missouri and Columbia rivers, to the Pacific ocean; performed in the years 1804, 1805 & 1806, by order of the government of the United States. Containing delineations of the manners, customs, religion, &c. of the Indians, comp. from various authentic sources, and original documents, and a summary of the Statistical view of the Indian nations, from the official communication of Meriwether Lewis. Illustrated with a map of the country, inhabited by the western tribes of Indians

The travels of Capts. Lewis and Clarke from St. Louis, by way of the Missouri and Columbia rivers, to the Pacific ocean; performed in the years 1804, 1805 & 1806, by order of the government of the United States. Containing delineations of the manners, customs, religion, &c. of the Indians, comp. from various authentic sources, and original documents, and a summary of the Statistical view of the Indian nations, from the official communication of Meriwether Lewis. Illustrated with a map of the country, inhabited by the western tribes of Indians

1809 · PDF

Professional Linux kernel architecture ''Wrox programmer to programmer''--Cover. - ''What you are reading right now is the result of an evolution over more than seven years: After two years of writing, the first edition was published in German by Carl Hanser Verlag in 2003. It then described kernel 2.6.0. The test was used as a basis for the low-level design documentation for the EAL4+ security evaluation of Red Hat Enterprise Linux 5, requiring to update it to kernel 2.6.18 (if the EAL acronym does not mean anything to you, then Wikipedia is once more your friend). Hewlett-Packard sponsored the translation into English and has, thankfully, granted the rights to publish the result. Updates to kernel 2.6.24 were then performed specifically for this book''--P. ix

Professional Linux kernel architecture ''Wrox programmer to programmer''--Cover. - ''What you are reading right now is the result of an evolution over more than seven years: After two years of writing, the first edition was published in German by Carl Hanser Verlag in 2003. It then described kernel 2.6.0. The test was used as a basis for the low-level design documentation for the EAL4+ security evaluation of Red Hat Enterprise Linux 5, requiring to update it to kernel 2.6.18 (if the EAL acronym does not mean anything to you, then Wikipedia is once more your friend). Hewlett-Packard sponsored the translation into English and has, thankfully, granted the rights to publish the result. Updates to kernel 2.6.24 were then performed specifically for this book''--P. ix

2008 · PDF