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Large deviations and applications / S.R.S. Varadhan.
- Format:
- Book
- Author/Creator:
- Varadhan, S. R. S.
- Series:
- CBMS-NSF regional conference series in applied mathematics ; 46.
- CBMS-NSF regional conference series in applied mathematics ; 46
- Language:
- English
- Subjects (All):
- Large deviations.
- Physical Description:
- 1 online resource (v, 75 p. )
- Place of Publication:
- Philadelphia, Pa. : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 1984.
- Language Note:
- English
- System Details:
- Mode of access: World Wide Web.
- System requirements: Adobe Acrobat Reader.
- Summary:
- Many situations exist in which solutions to problems are represented as function space integrals. Such representations can be used to study the qualitative properties of the solutions and to evaluate them numerically using Monte Carlo methods. The emphasis in this book is on the behavior of solutions in special situations when certain parameters get large or small.
- Contents:
- Large deviations
- Cramer's theorem
- Multidimensional version of Cramer's theorem
- An infinite dimensional example: Brownian motion
- The Ventcel-Freidlin theory
- The exit problem
- Empirical distributions
- The large deviation problem for empirical distributions of Markov processes
- Some properties of entropy
- Upper bounds
- Lower bounds
- Contraction principle
- Application to the problem of the wiener sausage
- The Polaron problem.
- Notes:
- Consists of notes based on lectures given at a conference at the University of Southern Illinois at Carbondale during June 1982.
- Includes bibliographical references (p. 75).
- Title from title screen, viewed 04/05/2011.
- ISBN:
- 1-61197-024-5
- Publisher Number:
- CB46 SIAM
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