Large Deviations for Additive Functionals of Markov Chains PDF Download
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Author: Alejandro D. de Acosta
Publisher: American Mathematical Soc.
ISBN: 0821890891
Category : Mathematics
Languages : en
Pages : 120
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Book Description
Author: Alejandro D. de Acosta
Publisher: American Mathematical Soc.
ISBN: 0821890891
Category : Mathematics
Languages : en
Pages : 120
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Book Description
Author: Frank Hollander
Publisher: American Mathematical Soc.
ISBN: 9780821844359
Category : Mathematics
Languages : en
Pages : 164
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Book Description
Offers an introduction to large deviations. This book is divided into two parts: theory and applications. It presents basic large deviation theorems for i i d sequences, Markov sequences, and sequences with moderate dependence. It also includes an outline of general definitions and theorems.
Author: Paul Dupuis
Publisher: John Wiley & Sons
ISBN: 1118165896
Category : Mathematics
Languages : en
Pages : 506
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Book 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.
Author: Alejandro D. de Acosta
Publisher:
ISBN: 1009063359
Category : Mathematics
Languages : en
Pages : 264
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Book Description
This book studies the large deviations for empirical measures and vector-valued additive functionals of Markov chains with general state space. Under suitable recurrence conditions, the ergodic theorem for additive functionals of a Markov chain asserts the almost sure convergence of the averages of a real or vector-valued function of the chain to the mean of the function with respect to the invariant distribution. In the case of empirical measures, the ergodic theorem states the almost sure convergence in a suitable sense to the invariant distribution. The large deviation theorems provide precise asymptotic estimates at logarithmic level of the probabilities of deviating from the preponderant behavior asserted by the ergodic theorems.
Author: Firas Rassoul-Agha
Publisher: American Mathematical Soc.
ISBN: 0821875787
Category : Mathematics
Languages : en
Pages : 335
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Book Description
This is an introductory course on the methods of computing asymptotics of probabilities of rare events: the theory of large deviations. The book combines large deviation theory with basic statistical mechanics, namely Gibbs measures with their variational characterization and the phase transition of the Ising model, in a text intended for a one semester or quarter course. The book begins with a straightforward approach to the key ideas and results of large deviation theory in the context of independent identically distributed random variables. This includes Cramér's theorem, relative entropy, Sanov's theorem, process level large deviations, convex duality, and change of measure arguments. Dependence is introduced through the interactions potentials of equilibrium statistical mechanics. The phase transition of the Ising model is proved in two different ways: first in the classical way with the Peierls argument, Dobrushin's uniqueness condition, and correlation inequalities and then a second time through the percolation approach. Beyond the large deviations of independent variables and Gibbs measures, later parts of the book treat large deviations of Markov chains, the Gärtner-Ellis theorem, and a large deviation theorem of Baxter and Jain that is then applied to a nonstationary process and a random walk in a dynamical random environment. The book has been used with students from mathematics, statistics, engineering, and the sciences and has been written for a broad audience with advanced technical training. Appendixes review basic material from analysis and probability theory and also prove some of the technical results used in the text.
Author: Jean-Dominique Deuschel and Daniel W. Stroock
Publisher: American Mathematical Soc.
ISBN: 9780821869345
Category : Large deviations
Languages : en
Pages : 296
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Book Description
This is the second printing of the book first published in 1988. The first four chapters of the volume are based on lectures given by Stroock at MIT in 1987. They form an introduction to the basic ideas of the theory of large deviations and make a suitable package on which to base a semester-length course for advanced graduate students with a strong background in analysis and some probability theory. A large selection of exercises presents important material and many applications. The last two chapters present various non-uniform results (Chapter 5) and outline the analytic approach that allows one to test and compare techniques used in previous chapters (Chapter 6).
Author: Luigi Ambrosio
Publisher: Springer Science & Business Media
ISBN: 376438722X
Category : Mathematics
Languages : en
Pages : 333
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Book Description
The book is devoted to the theory of gradient flows in the general framework of metric spaces, and in the more specific setting of the space of probability measures, which provide a surprising link between optimal transportation theory and many evolutionary PDE's related to (non)linear diffusion. Particular emphasis is given to the convergence of the implicit time discretization method and to the error estimates for this discretization, extending the well established theory in Hilbert spaces. The book is split in two main parts that can be read independently of each other.
Author: Enzo Olivieri
Publisher: Cambridge University Press
ISBN: 9780521591638
Category : Mathematics
Languages : en
Pages : 540
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Book Description
Publisher Description
Author: S. R. S. Varadhan
Publisher: SIAM
ISBN: 0898711894
Category : Mathematics
Languages : en
Pages : 74
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Book Description
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: G. George Yin
Publisher: Springer Science & Business Media
ISBN: 1461443466
Category : Mathematics
Languages : en
Pages : 442
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Book Description
This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions. To bridge the gap between theory and applications, a large portion of the book is devoted to applications in controlled dynamic systems, production planning, and numerical methods for controlled Markovian systems with large-scale and complex structures in the real-world problems. This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. The chapters on analytic and probabilistic properties of two-time-scale Markov chains have been almost completely rewritten and the notation has been streamlined and simplified. This book is written for applied mathematicians, engineers, operations researchers, and applied scientists. Selected material from the book can also be used for a one semester advanced graduate-level course in applied probability and stochastic processes.
