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Large deviations and applications

Author: S R S Varadhan; Society for Industrial and Applied Mathematics.
Publisher: Philadelphia, Pa. : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 1984.
Series: CBMS-NSF regional conference series in applied mathematics, 46.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
(DLC) 83051046
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: S R S Varadhan; Society for Industrial and Applied Mathematics.
ISBN: 9781611970241 1611970245
OCLC Number: 718676249
Language Note: English.
Notes: Title from title screen, viewed 04/05/2011.
Consists of notes based on lectures given at a conference at the University of Southern Illinois at Carbondale during June 1982.
Description: 1 online resource (v, 75 pages) : digital file.
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.
Series Title: CBMS-NSF regional conference series in applied mathematics, 46.
Responsibility: S.R.S. Varadhan.
More information:

Abstract:

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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