Blanchet, J. H., & Pacheco-González, C. G. Large Deviations. https://doi.org/10.1002/9780470061602.eqf21026
Abstract
Modern large deviations theory, pioneered by Donsker and Varadhan, concerns the study of rare events, and it has become a common tool for the analysis of stochastic systems in a variety of scientific disciplines and in engineering. The theory developed by Donsker and Varadhan is a generalization of Laplace's principle and Cramér's theorem. Here we concentrate on applications to finance and risk management.
Authors
Jose H Blanchet, Carlos G Pacheco‐González
Publication date
2010/5/15
Journal
Encyclopedia of Quantitative Finance
Publisher
John Wiley & Sons, Ltd
