Large Deviations for Additive Functionals of Markov Chains PDF Download

Author: Alejandro D. de Acosta
Publisher: American Mathematical Soc.
ISBN: 0821890891
Category : Mathematics
Languages : en
Pages : 120

View

Book Description

Author: Alejandro D. de Acosta
Publisher:
ISBN: 1009063359
Category : Mathematics
Languages : en
Pages : 264

View

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: O. V. Gulinsky
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110917807
Category : Mathematics
Languages : en
Pages : 192

View

Book Description
No detailed description available for "Large Deviations for Discrete-Time Processes with Averaging".

Author: Frank den Hollander
Publisher: American Mathematical Soc.
ISBN: 0821871722
Category : Mathematics
Languages : en
Pages : 162

View

Book Description

Author: Alan Weiss
Publisher: Routledge
ISBN: 042984686X
Category : Computers
Languages : en
Pages : 512

View

Book Description
Originally published in 1995, Large Deviations for Performance Analysis consists of two synergistic parts. The first half develops the theory of large deviations from the beginning, 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 including, 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 analysed using the tools developed in the first half of the book.

Author: Enzo Olivieri
Publisher: Cambridge University Press
ISBN: 9780521591638
Category : Mathematics
Languages : en
Pages : 540

View

Book Description
Publisher Description

Author: D. Kannan
Publisher: CRC Press
ISBN: 9780824706609
Category : Mathematics
Languages : en
Pages : 800

View

Book Description
An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.

Author: Jens Ledet Jensen
Publisher: Oxford University Press
ISBN: 9780198522959
Category : Mathematics
Languages : en
Pages : 348

View

Book Description
This book explains the ideas behind the saddlepoint approximations as well as giving a detailed mathematical description of the subject and many worked out examples.

Author: James Bucklew
Publisher: Springer Science & Business Media
ISBN: 1475740786
Category : Mathematics
Languages : en
Pages : 262

View

Book Description
This book presents a unified theory of rare event simulation and the variance reduction technique known as importance sampling from the point of view of the probabilistic theory of large deviations. It allows us to view a vast assortment of simulation problems from a unified single perspective.

Author: Vitaly Bergelson
Publisher: Walter de Gruyter
ISBN: 3110889382
Category : Mathematics
Languages : en
Pages : 461

View

Book Description
This series is devoted to the publication of monographs, lecture resp. seminar notes, and other materials arising from programs of the OSU Mathemaical Research Institute. This includes proceedings of conferences or workshops held at the Institute, and other mathematical writings.