Special invited paper. Large deviations

2008

73 citations recorded by the source corpus.

This paper is based on Wald Lectures given at the annual meeting of the IMS in Minneapolis during August 2005. It is a survey of the theory of large deviations.

Subfields: Computational Theory and Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/50d07c06163902cee0750db77fa7c48b04d4068f

Citations in the corpus

• Limit Theorems for Marked Hawkes Processes with Application to a Risk Model (2012, unknown): “See Dembo and Zeitouni [5] or Varadhan [12] for general background regarding large deviations and their applications.”
• Large deviations for Markovian nonlinear Hawkes processes (2011, unknown): “Also Varadhan [19] has an excellent survey article on this subject.”
• Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims (2013, unknown): “Also Varadhan (2008) has an excellent survey article on this subject.”