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Large deviations

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If you have a question about this talk, please contact Elena Yudovina.

Large deviations statements describe the rate at which unlikely events become more unlikely: in particular, they allow for statements of the form “if an unlikely event happened, it was overwhelmingly likely to have happened in this way”. (This is predictably interesting to engineers, who hope that events of a system collapsing are rare enough for the analysis to apply.) I will be trying to give examples of this phenomenon in two cases: for the mean of n iid real random variables, and for the behaviour of the Brownian motion over very short time scales. (The latter is pending my gaining an adequate understanding of it by Thursday :))

This talk is part of the Statistical Laboratory Graduate Seminars series.

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