Large Deviations Techniques And Applications PDF Download
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Author | : Amir Dembo |
Publisher | : Springer Science & Business Media |
Total Pages | : 409 |
Release | : 2009-11-03 |
Genre | : Science |
ISBN | : 3642033113 |
Download Large Deviations Techniques and Applications Book in PDF, ePub and Kindle
Large deviation estimates have proved to be the crucial tool required to handle many questions in statistics, engineering, statistial mechanics, and applied probability. Amir Dembo and Ofer Zeitouni, two of the leading researchers in the field, provide an introduction to the theory of large deviations and applications at a level suitable for graduate students. The mathematics is rigorous and the applications come from a wide range of areas, including electrical engineering and DNA sequences. The second edition, printed in 1998, included new material on concentration inequalities and the metric and weak convergence approaches to large deviations. General statements and applications were sharpened, new exercises added, and the bibliography updated. The present soft cover edition is a corrected printing of the 1998 edition.
Author | : Frank Hollander |
Publisher | : American Mathematical Soc. |
Total Pages | : 164 |
Release | : 2000 |
Genre | : Mathematics |
ISBN | : 9780821844359 |
Download Large Deviations Book in PDF, ePub and Kindle
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 | : 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 | : Jean-Dominique Deuschel |
Publisher | : American Mathematical Soc. |
Total Pages | : 298 |
Release | : 2001 |
Genre | : Large deviations |
ISBN | : 082182757X |
Download Large Deviations Book in PDF, ePub and Kindle
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 | : Angelo Vulpiani |
Publisher | : Springer |
Total Pages | : 323 |
Release | : 2014-05-16 |
Genre | : Science |
ISBN | : 3642542514 |
Download Large Deviations in Physics Book in PDF, ePub and Kindle
This book reviews the basic ideas of the Law of Large Numbers with its consequences to the deterministic world and the issue of ergodicity. Applications of Large Deviations and their outcomes to Physics are surveyed. The book covers topics encompassing ergodicity and its breaking and the modern applications of Large deviations to equilibrium and non-equilibrium statistical physics, disordered and chaotic systems, and turbulence.
Author | : Peter K. Friz |
Publisher | : Springer |
Total Pages | : 590 |
Release | : 2015-06-16 |
Genre | : Mathematics |
ISBN | : 3319116053 |
Download Large Deviations and Asymptotic Methods in Finance Book in PDF, ePub and Kindle
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.
Author | : Adam Shwartz |
Publisher | : CRC Press |
Total Pages | : 576 |
Release | : 1995-09-01 |
Genre | : Mathematics |
ISBN | : 9780412063114 |
Download Large Deviations For Performance Analysis Book in PDF, ePub and Kindle
This book consists of two synergistic parts. The first half develops the theory of large deviations from the beginning (iid random variables) through recent results on the theory for processes with boundaries, keeping to a very narrow path: continuous-time, discrete-state processes. By developing only what is needed for the applications, the theory is kept to a manageable level, both in terms of length and in terms of difficulty. Within its scope, the treatment is detailed, comprehensive and self-contained. As the book shows, there are sufficiently many interesting applications of jump Markov processes to warrant a special treatment. The second half is a collection of applications developed at Bell Laboratories. The applications cover large areas of the theory of communication networks: circuit-switched transmission, packet transmission, multiple access channels, and the M/M/1 queue. Aspects of parallel computation are covered as well: basics of job allocation, rollback-based parallel simulation, assorted priority queueing models that might be used in performance models of various computer architectures, and asymptotic coupling of processors. These applications are thoroughly analyzed using the tools developed in the first half of the book. Features: A transient analysis of the M/M/1 queue; a new analysis of an Aloha model using Markov modulated theory; new results for Erlang's model; new results for the AMS model; analysis of "serve the longer queue", "join the shorter queue" and other simple priority queues; and a simple analysis of the Flatto-Hahn-Wright model of processor-sharing.
Author | : Roman Vershynin |
Publisher | : Cambridge University Press |
Total Pages | : 299 |
Release | : 2018-09-27 |
Genre | : Business & Economics |
ISBN | : 1108415199 |
Download High-Dimensional Probability Book in PDF, ePub and Kindle
An integrated package of powerful probabilistic tools and key applications in modern mathematical data science.
Author | : Jean-Dominique Deuschel and Daniel W. Stroock |
Publisher | : American Mathematical Soc. |
Total Pages | : 296 |
Release | : |
Genre | : Large deviations |
ISBN | : 9780821869345 |
Download Large Deviations Book in PDF, ePub and Kindle
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 | : Jin Feng |
Publisher | : American Mathematical Soc. |
Total Pages | : 426 |
Release | : 2006 |
Genre | : Mathematics |
ISBN | : 0821841459 |
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 de