Large Deviation Theory
We will find that many of the rare events that we wish to simulate are the result of the occurrence of a large deviation event. In order to develop good simulation strategies for these events, we need to understand something of the probability theory associated with them. In this chapter, we provide an introduction to two of the basic concepts of this important area: Cramér’s Theorem and the Gärtner-Ellis Theorem.
KeywordsRate Function Convex Function Moment Generate Function Large Deviation Principle Effective Domain
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