Large Deviations:
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 sm...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Providence, Rhode Island
American Mathematical Society
[2016]
|
| Schriftenreihe: | Courant lecture notes / American Mathematical Society
Volume 27 |
| Schlagworte: | |
| Online-Zugang: | UBM01 URL des Erstveröffentlicher Inhaltsverzeichnis |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (114 Seiten) Illustrationen, Diagramme |
| ISBN: | 9781470435851 |
| DOI: | 10.1090/cln/027 |
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| isbn | 9781470435851 |
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| spelling | Varadhan, S. R. S. 1940- Verfasser (DE-588)13051957X aut Large Deviations Providence, Rhode Island American Mathematical Society [2016] © 2016 1 Online-Ressource (114 Seiten) Illustrationen, Diagramme txt rdacontent c rdamedia cr rdacarrier Courant lecture notes / American Mathematical Society Volume 27 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 Large deviations Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Große Abweichung (DE-588)4330658-5 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 s Große Abweichung (DE-588)4330658-5 s 1\p DE-604 Courant Institute of Mathematical Sciences Sonstige (DE-588)1004778-5 oth Erscheint auch als Druck-Ausgabe 978-0-8218-4086-3 American Mathematical Society Courant lecture notes Volume 27 (DE-604)BV047076142 27 https://doi.org/10.1090/cln/027 Verlag URL des Erstveröffentlicher Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030014210&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Varadhan, S. R. S. 1940- Large Deviations Large deviations Stochastischer Prozess (DE-588)4057630-9 gnd Große Abweichung (DE-588)4330658-5 gnd |
| subject_GND | (DE-588)4057630-9 (DE-588)4330658-5 |
| title | Large Deviations |
| title_auth | Large Deviations |
| title_exact_search | Large Deviations |
| title_full | Large Deviations |
| title_fullStr | Large Deviations |
| title_full_unstemmed | Large Deviations |
| title_short | Large Deviations |
| title_sort | large deviations |
| topic | Large deviations Stochastischer Prozess (DE-588)4057630-9 gnd Große Abweichung (DE-588)4330658-5 gnd |
| topic_facet | Large deviations Stochastischer Prozess Große Abweichung |
| url | https://doi.org/10.1090/cln/027 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030014210&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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