| A Weak Convergence Approach to the Theory of Large Deviations Contributor(s): Dupuis, Paul (Author), Ellis, Richard S. (Author) |
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ISBN: 0471076724 ISBN-13: 9780471076728 Publisher: Wiley-Interscience OUR PRICE: $238.40 Product Type: Hardcover - Other Formats Published: February 1997 Annotation: Applies 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. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General |
| Dewey: 519.24 |
| LCCN: 96027513 |
| Series: Wiley Probability and Statistics |
| Physical Information: 1.17" H x 6.47" W x 9.55" (1.96 lbs) 504 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Applies the well-developed tools of the theory of weak convergenceof probability measures to large deviation analysis--a consistentnew approach The theory of large deviations, one of the most dynamic topics inprobability today, studies rare events in stochastic systems. Thenonlinear nature of the theory contributes both to its richness anddifficulty. This innovative text demonstrates how to employ thewell-established linear techniques of weak convergence theory toprove large deviation results. Beginning with a step-by-stepdevelopment of the approach, the book skillfully guides readersthrough models of increasing complexity covering a wide variety ofrandom variable-level and process-level problems. Representationformulas for large deviation-type expectations are a key tool andare developed systematically for discrete-time problems. Accessible to anyone who has a knowledge of measure theory andmeasure-theoretic probability, A Weak Convergence Approach to theTheory of Large Deviations is important reading for both studentsand researchers. |
