Limit Theorems On Large Deviations For Markov Stochastic Processes
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Author | : A.D. Wentzell |
Publisher | : Springer Science & Business Media |
Total Pages | : 192 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 9400918526 |
Download Limit Theorems on Large Deviations for Markov Stochastic Processes Book in PDF, Epub and Kindle
In recent decades a new branch of probability theory has been developing intensively, namely, limit theorems for stochastic processes. As compared to classical limit theorems for sums of independent random variables, the generalizations are going here in two directions simultaneously. First, instead of sums of independent variables one considers stochastic processes belonging to certain broad classes. Secondly, instead of the distribution of a single sum - the distribution of the value of a stochastic process at one (time) point - or the joint distribution of the values of a process at a finite number of points, one considers distributions in an infinite-dimensional function space. For stochastic processes constructed, starting from sums of independent random variables, this is the same as considering the joint distribution of an unboundedly increasing number of sums.
Author | : L. Saulis |
Publisher | : Springer Science & Business Media |
Total Pages | : 241 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 9401135304 |
Download Limit Theorems for Large Deviations Book in PDF, Epub and Kindle
"Et moi ... - si j'avait su comment en revenir. One service mathematics has rendered the je n'y serais poin t aile.' human race. It has put common sense back Jules Verne where it belongs, on the topmost shelf next to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'. able to do something with it. Eric T. Bell O.H ea viside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non Iinearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service. topology has rendered mathematical physics .. .':: 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d 'e1:re of this series
Author | : Jin Feng |
Publisher | : American Mathematical Soc. |
Total Pages | : 426 |
Release | : 2015-02-03 |
Genre | : Mathematics |
ISBN | : 1470418703 |
Download Large Deviations for Stochastic Processes Book in PDF, Epub and Kindle
The book is devoted to the results on large deviations for a class of stochastic processes. Following an introduction and overview, the material is presented in three parts. Part 1 gives necessary and sufficient conditions for exponential tightness that are analogous to conditions for tightness in the theory of weak convergence. Part 2 focuses on Markov processes in metric spaces. For a sequence of such processes, convergence of Fleming's logarithmically transformed nonlinear semigroups is shown to imply the large deviation principle in a manner analogous to the use of convergence of linear semigroups in weak convergence. Viscosity solution methods provide applicable conditions for the necessary convergence. Part 3 discusses methods for verifying the comparison principle for viscosity solutions and applies the general theory to obtain a variety of new and known results on large deviations for Markov processes. In examples concerning infinite dimensional state spaces, new comparison principles are derived for a class of Hamilton-Jacobi equations in Hilbert spaces and in spaces of probability measures.
Author | : S. R. S. Varadhan |
Publisher | : American Mathematical Soc. |
Total Pages | : 114 |
Release | : 2016-12-08 |
Genre | : Mathematics |
ISBN | : 082184086X |
Download Large Deviations Book in PDF, Epub and Kindle
The theory of large deviations deals with rates at which probabilities of certain events decay as a natural parameter in the problem varies. This book, which is based on a graduate course on large deviations at the Courant Institute, focuses on three concrete sets of examples: (i) diffusions with small noise and the exit problem, (ii) large time behavior of Markov processes and their connection to the Feynman-Kac formula and the related large deviation behavior of the number of distinct sites visited by a random walk, and (iii) interacting particle systems, their scaling limits, and large deviations from their expected limits. For the most part the examples are worked out in detail, and in the process the subject of large deviations is developed. The book will give the reader a flavor of how large deviation theory can help in problems that are not posed directly in terms of large deviations. The reader is assumed to have some familiarity with probability, Markov processes, and interacting particle systems.
Author | : Dmitrii S. Silvestrov |
Publisher | : Springer Science & Business Media |
Total Pages | : 408 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 0857293907 |
Download Limit Theorems for Randomly Stopped Stochastic Processes Book in PDF, Epub and Kindle
This volume is the first to present a state-of-the-art overview of this field, with many results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast and technically demanding Russian literature in detail. Its coverage is thorough, streamlined and arranged according to difficulty.
Author | : S. R. S. Varadhan |
Publisher | : SIAM |
Total Pages | : 74 |
Release | : 1984-01-31 |
Genre | : Mathematics |
ISBN | : 0898711894 |
Download Large Deviations and Applications Book in PDF, Epub and Kindle
Many situations exist in which solutions to problems are represented as function space integrals. Such representations can be used to study the qualitative properties of the solutions and to evaluate them numerically using Monte Carlo methods. The emphasis in this book is on the behavior of solutions in special situations when certain parameters get large or small.
Author | : Dmitry Dolgopyat |
Publisher | : Springer Nature |
Total Pages | : 348 |
Release | : 2023-07-31 |
Genre | : Mathematics |
ISBN | : 3031326016 |
Download Local Limit Theorems for Inhomogeneous Markov Chains Book in PDF, Epub and Kindle
This book extends the local central limit theorem to Markov chains whose state spaces and transition probabilities are allowed to change in time. Such chains are used to model Markovian systems depending on external time-dependent parameters. The book develops a new general theory of local limit theorems for additive functionals of Markov chains, in the regimes of local, moderate, and large deviations, and provides nearly optimal conditions for the classical expansions, as well as asymptotic corrections when these conditions fail. Applications include local limit theorems for independent but not identically distributed random variables, Markov chains in random environments, and time-dependent perturbations of homogeneous Markov chains. The inclusion of appendices with background material, numerous examples, and an account of the historical background of the subject make this self-contained book accessible to graduate students. It will also be useful for researchers in probability and ergodic theory who are interested in asymptotic behaviors, Markov chains in random environments, random dynamical systems and non-stationary systems.
Author | : Paul Dupuis |
Publisher | : John Wiley & Sons |
Total Pages | : 506 |
Release | : 2011-09-09 |
Genre | : Mathematics |
ISBN | : 1118165896 |
Download A Weak Convergence Approach to the Theory of Large Deviations Book in PDF, Epub and Kindle
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.
Author | : Aleksandr Alekseevich Borovkov |
Publisher | : |
Total Pages | : 400 |
Release | : 1984 |
Genre | : Limit theorems (Probability theory). |
ISBN | : |
Download Advances in Probability Theory Book in PDF, Epub and Kindle
Author | : Yu.V. Prokhorov |
Publisher | : Springer Science & Business Media |
Total Pages | : 280 |
Release | : 2013-03-14 |
Genre | : Mathematics |
ISBN | : 3662041723 |
Download Limit Theorems of Probability Theory Book in PDF, Epub and Kindle
A collection of research level surveys on certain topics in probability theory by a well-known group of researchers. The book will be of interest to graduate students and researchers.