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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 monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view."
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.
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. He wrote a series of papers on the Martingale Problem and diffusions together with Stroock, and another series of papers on Large Deviations together with Donsker.
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. He wrote a series of papers on the Martingale Problem and diffusions together with Stroock, and another series of papers on Large Deviations together with Donsker.
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