Introduction to the Theory of Large Deviations

Catalog description

The theory of large deviations attempts to estimate the probability of rare events and identify the most likely way they happen. The course will begin with a review of the general framework, standard techniques (change-of-measure, PDE, weak convergence, etc.), and basic examples (e.g., Sanov's and Cramer's Theorems). We then will cover the Wentsel-Freidlin theory. The last part of the course will be one or two related topics, possibly drawn from (but not limited to) risk-sensitive control and Monte Carlo methods. Prerequisites: APMA 2630 and 2640 .