Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods

This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time shastic systems. A feature of the book is the systematic use of variational representations for quantities of interest such as normalized logarithms of probabilities and expected values. By characterizing a large deviation principle in terms of Laplace asymptotics, one converts the proof of large deviation limits into the convergence of variational representa...