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Large Deviations and Applications

โœ Scribed by S. R. S. Varadhan

Publisher
Society for Industrial Mathematics
Year
1987
Tongue
English
Leaves
84
Series
CBMS-NSF Regional Conference Series in Applied Mathematics
Category
Library
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โœฆ Synopsis

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.

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<p><P>The theory of large deviations deals with the evaluation, for a family of probability measures parameterized by a real valued variable, of the probabilities of events which decay exponentially in the parameter. Originally developed in the context of statistical mechanics and of (random) dynami