|Date||Nov 10, 2016|
In the theory of probability, general principles such as the law of large numbers and the central limit theorem describe the typical asymptotic behavior of random variables. The abnormal event violating these asymptotic laws is called the rare event. The large deviation theory provides unifying methodology to quantify the probability of rare events, which is usually exponentially small. In this presentation, I introduce the large deviation theory and some of its applications to several stochastic models.