• Introduction to large deviations. Motivations from insurance and statistics. Classical large deviation for partial sums in the Gaussian case: exact computation using Mills ratio.  
  • Fenchel-Legendre transform: definition, properties and computation. 
  • Cramer’s theorem for general random variables and vectors.
  • General notion of large deviation principle on Polish spaces: Laplace principle, Varadhan’s lemma, weak large deviation principle, exponential tightness, goodness of rate function, contraction principle. Applications.
  • Gartner and Ellis theorem.
  • Sanov’s theorem : Donsker-Varadhan variational formula (if time permits)

Prerequisites:

  • Measure Theoretic Probability
  • Advanced Probability

References:

  • Large Deviations Techniques and Application by Dembo and Zeitouni
  • Large Deviations by Deuschel and Stroock
  • Large Deviations by Hollander
  • Large Deviations and Applications by Varadhan
  • A Weak Convergence Approach to the Theory of Large Deviations by Dupuis and Ellis