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Technical A Weak Convergence Approach to the Theory of Large Deviations (Wiley Series in Probability and Statistics)
Posted on 2010-04-14
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More Paul Dupuis, Richard S. Ellis, "A Weak Convergence Approach to the Theory of Large Deviations (Wiley Series in Probability and Statistics)" pplies the well-developed tools of the theory of weak convergence of probability measures to large deviation analysis—a consistent new approach The theory of large deviations, one of the most dynamic topics in probability today, studies rare events in stochastic systems. The nonlinear nature of the theory contributes both to its richness and difficulty. This innovative text demonstrates how to employ the well-established linear techniques of weak convergence theory to prove large deviation results. Beginning with a step-by-step development of the approach, the book skillfully guides readers through models of increasing complexity covering a wide variety of random variable-level and process-level problems. Representation formulas for large deviation-type expectations are a key tool and are developed systematically for discrete-time problems. Accessible to anyone who has a knowledge of measure theory and measure-theoretic probability, A Weak Convergence Approach to the Theory of Large Deviations is important reading for both students and researchers. From the Publisher This book presents a new and widely applicable method to the theory of large deviations. This approach allows large deviation problems, which are nonlinear, to be reduced to problems that are essentially linear in nature (weak convergence in probability). The authors develop the weak convergence method from scratch, illustrate via several basic examples and then apply it to a number of sophisticated models. Much of the material in the text is being published for the first time. Not all books ... appear on the homepage. In order not to miss many of them follow ebooks section (see top of each page on AH)
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