APMA 2820W - An Introduction to the Theory of Large Deviations

Institution:

Brown University

Subject:

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, subadditivity, etc.), and elementary examples (e.g., Sanov's and Cramer's Theorems). We then will cover large deviations for diffusion processes and 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; weak convergence methods; Hamilton¿Jacobi¿Bellman equations; Monte Carlo methods. Prerequisites: AM 263 and 264.

Credits:

1.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.brown.edu

Phone Number:

(401) 863-1000

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Semester

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