An Invitation to Large Deviation Theory


Large deviation theory is a very important branch of probability theory that deals with rare events. The subject has far reaching applications in engineering sciences, operations research, physics and statistics. This subject has also attained its prominence due to the 2009 Abel Prize to Professor S. R. S. Varadhan who was also awarded the 2010 U.S. National Medal of Science. In this talk we will give an introduction to this subject and indicate some of the exciting applications such as search of a randomly moving target among Poisson distributed "traps" and the famous calculation of survival probability of such a target using the asymptotics of "Wiener sausage" by Donsker and Varadhan.