An Introduction to Large Deviation theory

This is the page for the course “An Introduction to Large Deviation theory”

Notes

• Lecture 01 - Introduction
• Lecture 02 - Combinatorial arguments, method of Types
• Lecture 03 - Cramér’s theorem in $\mathbb{R}^d$
• Lecture 04 - Some backgrounds
• Lecture 05 - General principles
• Lecture 06 - LDP on topological vector spaces
• Lecture 07 - Gärtner-Ellis theorem.
• Lecture 08 - Case study: finite-state Markov chains

Exercise

• Exercise 01
• Exercise 02
• Exercise 03
• Exercise 04

Appendix

• Minimax Theorem
• Probability
• Convex Analysis
• Functional Analysis