702771 SE Critical Research Analysis: Stochastics

702771 SE Critical Research Analysis: Stochastics - Large deviations

winter semester 2017/2018 | Last update: 04.10.2017 | Place course on memo list

Department:

Department of Mathematics

Instructor:

Dr. Matthias Christian Meiners

Course number:

702771

Title:

SE Critical Research Analysis: Stochastics - Large deviations

Type/hours:

SE 2

ECTS credits:

Period:

weekly

Mode of repetition:

annually

Language of instruction:

English

Learning Outcome:

Successful students have acquired deeper knowledge of stochastics via an independent study of sources. They are able to creatively and rigorously investigate problems of higher mathematics and to communicate their findings to experts both in written reports and in scientific talks.

Contents:

Large deviations: Cramér's theorem, Gärtner-Ellis theorem, concentration inequalities, Varadhan's lemma, applications

Methods:

Latex-written report and a seminar talk of 90 minutes duration

Assessment:

Continuous assessment (based on regular written and oral contributions by the participants).

Literature:

Dembo, Zeitouni - Large Deviations -- Techniques and Applications

Prerequisites:

Stochastik 1 and Stochastik 2

Remarks:

Please read the PDF under "URL" and contact Prof. Meiners for a preliminary talk.