Chernoff’s Bound and Asymptotic Expansions
The large deviation theory of Chapter 3 tells us what the asymptotic rates to zero are of various sequences of rare event probabilities. The very reason for this book is that in almost all applications, this knowledge is not sufficient. We actually need to know what the probability is (or at least have a good estimate of it) in order to complete an engineering system analysis or design. The philosophy of this book is that we are going to simulate in order to obtain that number.
KeywordsAsymptotic Expansion Gaussian Random Variable Moment Generate Function Large Deviation Theory Rare Event Probability
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