Analysis and Approximation of Rare Events

DOI10.1007/978-1-4939-9579-0zbMath1427.60003OpenAlexW4242695360MaRDI QIDQ5376565

Paul Dupuis, Amarjit Budhiraja

Publication date: 13 May 2019

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-9579-0

zbMATH Keywords

relative entropylarge deviationscontinuous time processesdiscrete time processestightness of measuresinfinite dimensional Brownian noiseMonte Carlo for rare events

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10) Random measures (60G57) Convergence of probability measures (60B10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Jump processes on general state spaces (60J76) Jump processes on discrete state spaces (60J74)

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