Ramasubramanian, S. (2008) Large deviations: an introduction to 2007 Abel prize Proceedings of the Indian Academy of Sciences - Mathematical Sciences, 118 (2). pp. 161-182. ISSN 0253-4142
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Official URL: http://www.ias.ac.in/mathsci/vol118/may2008/absmay...
Related URL: http://dx.doi.org/10.1007/s12044-008-0009-5
Abstract
2007 Abel prize has been awarded to S R S Varadhan for creating a unified theory of large deviations. We attempt to give a flavour of this branch of probability theory, highlighting the role of Varadhan.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Indian Academy of Sciences. |
| Keywords: | Large Deviation Principle(Ldp); Rate Function; Cramer's Theorem; Sanov's Theorem; Esscher Transform; Tilt; Convex Conjugates; Laplace's Method; Varadhan's Lemma; Weak Convergence Of Probability Measures; Empirical Distribution; Himilton-Jacobi Equation; Burger's Equation; Variational Formula; Sample Path Ldp; Brownian Motion/Diffusion; Markov Processes; Ergodicity; Wentzell-Freidlin Theory; Exit Problem; Feynman-Kac Formula; Occupation Time; Principal Eigenvalue; Donsker-Varadhan Theory |
| ID Code: | 52182 |
| Deposited On: | 03 Aug 2011 06:47 |
| Last Modified: | 18 May 2016 05:49 |
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