A weak convergence approach to the theory of large deviations
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 va...
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| Format: | Book |
| Language: | English |
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New York : Wiley, c1997
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| Series: | Wiley series in probability and statistics
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| 008 | 140224|1997 nyua g|bi | |engdd | ||
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| 040 | |a UPNM | ||
| 090 | |a QA273.67 .D86 1997 | ||
| 100 | 1 | |a Dupuis, Paul | |
| 245 | 1 | 2 | |a A weak convergence approach to the theory of large deviations |c Paul Dupuis and Richard S. Ellis |
| 260 | |a New York : Wiley, c1997 | ||
| 300 | |a xvii, 479 p. |b ill. |c 25 cm. | ||
| 490 | 1 | |a Wiley series in probability and statistics | |
| 500 | |a "A Wiley-Interscience publication." | ||
| 504 | |a Includes bibliographical references (p. 458-462) and indexes | ||
| 505 | |a Formulation of large deviation theory in terms of the laplace principle -- First example: Sanov's theorem -- Second example: Mogulskii's theorem -- Representation formulas for other stockhastic processes -- Compactness and limit properties for the Random Walk model -- Laplace principle for the Random Walk model with continuous statistics -- Laplace principle for the Random Walk model with discontinuous statistics -- Laplace principle for the empirical measures of a Markov chain -- Extensions of the Laplace principle for the empirical measures of a Markov chain -- Laplace principle for continuous-time Markov processes with continuous statistics | ||
| 520 | |a 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. | ||
| 650 | 0 | |a Large deviations | |
| 650 | 0 | |a Convergence | |
| 700 | 1 | |a Ellis, Richard S. (Richard Steven) |d 1947- | |
| 830 | 0 | |a Wiley series in probability and statistics | |
| 999 | |a vtls000051306 |c 50198 |d 50198 | ||