• Large Deviations: An Introduction to 2007 Abel Prize

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      https://www.ias.ac.in/article/fulltext/pmsc/118/02/0161-0182

    • 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; va

    • 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.

    • Author Affiliations

       

      S Ramasubramanian1

      1. Stat.-Math. Unit, Indian Statistical Institute, 8th Mile, Mysore Road, Bangalore 560 059, India
    • Dates

       
  • Proceedings – Mathematical Sciences | News

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