Topics in probability theory are explained for a first-year graduate course. Necessary background material in measure theory is developed, and characteristic functions are introduced, followed by the
Many situations exist in which solutions to problems are represented as function space integrals. Such representations can be used to study the qualitative properties of the solutions and to evaluate
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monogra
Contents: Azencott, R. : Large deviations and applications.- Freidlin, Mark I. Semi-linear PDE's and limit theorems for large deviations- Varadhan, Srinivasa R.S.: Large deviations and applications.
Kiyosi Ito (1915 - 2008) was one of the pioneers of probability theory, and the originator of Ito Calculus. First published in 1942 in Japanese, this epoch-making theory of stochastic differential equ
The role of Yuri Vasilyevich Prokhorov as a prominent mathematician and leading expert in the theory of probability is well known. Even early in his career he obtained substantial results on the valid
This resource collects all the research papers of distinguished mathematician Srinivasa Varadhan from 1962 to 2012. It offers a clear overview of his work in probability, analysis and physics.
From the Preface: Srinivasa Varadhan began his research career at the Indian Statistical Institute (ISI), Calcutta, where he started as a graduate student in 1959. His first paper appeared in Sankhya,
Honoring the 50-year career of celebrated mathematician Srinivasa Varadhan, this second volume of his collected papers includes his publications on PDE, SDE, diffusions, and random media, tracing the
This inaugural volume of the collected papers of Srinivasa Varadhan, the celebrated Indian mathematician who has for 50 years been a faculty member at New York's Courant Institute, includes his early
The third of four volumes of collected papers by Indian mathematician Srinivasa Varadhan, this publication adds his papers on large deviations, as well as reviews by academics of international renown
