Asymptotic approximations for probability integrals (Q112433): Difference between revisions

Following the more general line of the well-known monographs of Erdelyi, Berg, Bleistein and Handelsman, Fedorjuk as well as Wong, the present book deals with asymptotic representations and expansions for certain types of probability integrals. After giving an overlook about basic univariate results in Chapter 4, special emphases are in Chapter 5 of this book in which the domains of integration are given by certain types of restrictions. From a large deviation point of view, domains of large deviations are considered the boundaries of which are typically described by functions which are one or two times differentiable nearly the set of so-called dominating points. This set is also allowed to be a manifold. For handling several classes of problems, the author developes the necessary analytical tools in Chapter 2 and describes basic ideas of asymptotic analysis in Chapter 3. Chapter 1 gives a short outlook to areas of applied mathematics where integral asymptotics are used. Much motivation in this book comes from reliability theory due to the author's extensive activities in this area. Several applications of the theory developed in this book to reliability can be found especially in Chapters 6 and 8 where approximations for normal integrals and crossing rates of stochastic processes are dealt with. Chapter 6 surveys the well-known first and second order methods of approximating a region of integration in reliability theory, respectively a large deviation domain, by a region having some linearity or second order property at its boundary. In other words, so-called FORM and SORM concepts from reliability theory are discussed in Chapter 6. Chapter 7 extends asymptotic results from Gaussian to much more arbitrary probability integrals. The present book is devoted both to mathematicians and to those engineers who are interested in using integral asymptotics in reliability theory. It is therefore written in a style that it is not hard to imagine that mathematicians will say about the book that the mathematical strengthness does not be sufficient at some places and that engineers will probably say something like the opposite. The book can be recommended to both mentioned types of specialists.