Asymptotic approximations for probability integrals
asymptotic expansionsasymptotic representations and expansionsGaussian processeslarge deviationlarge deviationsmultivariate Laplace type integralsprobability integralsreliability theory
Research exposition (monographs, survey articles) pertaining to approximations and expansions (41-02) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Multidimensional problems (41A63) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Large deviations (60F10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Reliability and life testing (62N05) Applications of statistics (62P99) Reliability, availability, maintenance, inspection in operations research (90B25)
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.
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- Non-equilibrium thermodynamics of piecewise deterministic Markov processes
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- Records from a multivariate normal sample
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- Two-dimensional asymptotic expansions for large deviations of spherically distributed random vectors if the dominating point degenerates asymptotically
- On the equivalence of thermodynamics ensembles for flexible polymer chains
- Asymptotic approximations for multivariate integrals with an application to multinormal probabilities
- Forward and inverse structural uncertainty propagations under stochastic variables with arbitrary probability distributions
- On the long-range dependence of mixed fractional Poisson process
- Reliability analysis of discrete-state performance functions via adaptive sequential sampling with detection of failure surfaces
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
- Asymptotic expansions for SDE's with small multiplicative noise
- Assessing bivariate tail non-exchangeable dependence
- Asymptotic expansion for some local volatility models arising in finance
- Exact asymptotic expression for the density of multiple stochastic integrals
- A hybrid reliability model for structures with truncated probability distributions
- Asymptotic approximation for the probability density function of an arbitrary sequence of random variables
- Adapted polynomial chaos expansion for failure detection
- Multiplicative asymptotics of solutions of the first boundary value problem on a half-axis for a parabolic equation with a small parameter
- A unified approach to infinite-dimensional integration
- Asymptotic expansion of double Laplace-type integrals: the case of non-stationary minimum points
- A Probabilistic and Interval Hybrid Reliability Analysis Method for Structures with Correlated Uncertain Parameters
- Multidimensional Watson lemma and its applications
- Polynomial chaos for the approximation of uncertainties: Chances and limits
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- Asymptotics of two integrals from optimization theory and geometric probability
- Laplace-type exact asymptotic formulas for the Bogoliubov Gaussian measure
- A survey on approaches for reliability-based optimization
- A robust iterative algorithm for structural reliability analysis
- Strength of tail dependence based on conditional tail expectation
- Asymptotic behaviour of the probability-weighted moments and penultimate approximation
- On asymptotics of multivariate integrals with applications to records
- Structural reliability analysis using non-probabilistic convex model
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- Asymptotics of Gaussian integrals in infinite dimensions
- Asymptotic expansions of Laplace-type integrals. III
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Freezing limits for Calogero–Moser–Sutherland particle models
- Lipschitz continuity of probability kernels in the optimal transport framework
- High-dimensional factor copula models with estimation of latent variables
- Tail order and intermediate tail dependence of multivariate copulas
- Hua-Pickrell diffusions and differential equations related with pseudo-Jacobi polynomials
- Scalability of the second-order reliability method for stochastic differential equations with multiplicative noise
- On the asymptotic Laplace method and its application to random chaos
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