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Large Deviations for Stochastic Processes (Mathematical Surveys and Monographs) - Tapa blanda

Feng, Jin; Kurtz, Thomas G.

 
9781470418700: Large Deviations for Stochastic Processes (Mathematical Surveys and Monographs)
Tapa blanda
ISBN 10: 1470418703 ISBN 13: 9781470418700
Editorial: American Mathematical Society, 2006

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Jin Feng, University of Kansas, Lawrence, KS.

Thomas G. Kurtz, University of Wisconsin at Madison, Madison, WI.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
American Mathematical Society
Año de publicación
2006
Idioma
Inglés
ISBN 10 
1470418703
ISBN 13 
9781470418700
Encuadernación
Tapa blanda
Número de páginas
410
Contacto del fabricante
no disponible
Persona responsable
Mare Nostrum Group B.V.
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