Abstract
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.
How dare we speak of the laws of chance? Is not chance the antithesis of all law?
Bertrand Russell
The probability of anything happening is in inverse ratio to its desirability.
One of the many variants of Murphy’s Law
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© 2004 Springer Science+Business Media New York
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Bucklew, J.A. (2004). Large Deviation Theory. In: Introduction to Rare Event Simulation. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-4078-3_3
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DOI: https://doi.org/10.1007/978-1-4757-4078-3_3
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-1893-2
Online ISBN: 978-1-4757-4078-3
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