Description: This seminar provides an introduction to the theory of Large Deviations emphasizing applications to Financial Mathematics where appropriate. Large Deviations Principles (LDP) will be derived for empirical averages of random variables, random walks, diffusions and occupancy times of Markov processes. Basic definitions, as well as general techniques for proving the existence of LDP, will be covered. If you have any questions, please contact Scott Robertson at scottrob@andrew.cmu.edu

When: Thursdays from 4:30 to 6:30 PM

Where: Wean Hall room 6423