Speaker

:

S.R.S. Varadhan

Subject Area

:

Mathematics

Venue

:

Lecture Hall - I, Dept of Mathematics

Time

:

4 pm

Date  

:

Feb 12,2009 (Thursday)

Title

:

An unusual problem in large deviations

We will investigate the large deviation rates for sums of the form $\sum_i f(x_i)g(x_2i)$ where $\{x_i\}$ is a nice Markov process. In other words "calculate" $$ \lim_{n\to\infty}{1\over n}\log E[\exp\sum_{i=1}^n f(x_i) g(x_2i)]$$ where $\{x_i\}$ is Markov Chain with transition probability $\pi(x, y)$.