Large deviations: An introduction to 2007 Abel prize (Q943020)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviations: An introduction to 2007 Abel prize |
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Large deviations: An introduction to 2007 Abel prize (English)
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8 September 2008
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large deviation principle (LDP)
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rate function
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Cramer's theorem
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Sanov's theorem
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Esscher transform/tilt
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convex conjugates
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Laplace's method
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Varadhan's lemma
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weak convergence of probability measures
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empirical distribution
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Hamilton-Jacobi equation
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Burger's equation
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variational formula
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sample path LDP
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Brownian motion/diffusion
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Markov processes
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ergodicity
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Wentzell-Freidlin theory
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exit problem
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Feynman-Kac formula
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occupation time
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principal eigenvalue
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Donsker-Varadhan theory
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