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Download Large Deviations for Stochastic Processes (Mathematical Surveys and Monographs) epub

by Thomas G. Kurtz,Jin Feng




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.
Download Large Deviations for Stochastic Processes (Mathematical Surveys and Monographs) epub
ISBN: 0821841459
ISBN13: 978-0821841457
Category: Science
Subcategory: Mathematics
Author: Thomas G. Kurtz,Jin Feng
Language: English
Publisher: American Mathematical Society (October 31, 2006)
Pages: 410 pages
ePUB size: 1570 kb
FB2 size: 1434 kb
Rating: 4.9
Votes: 550
Other Formats: mobi lit azw mobi