Speaker: Claudio Macci (Università di Roma Tor Vergata) lunedì 4 giugno ore 15
Titolo: Large Deviations: theory and applications
Abstract: I present a basic introduction on large deviations. In particular I will
show how the rate functions can be expressed in terms of relative entropy
(or Kullback-Leibler divergence). I will also present asymptotic results
for level crossing probabilities of random walks, which can be interpreted
as ruin probabilities in insurance.