Large Deviations Techniques and Applications

  • Amir Dembo
  • Ofer Zeitouni

Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 38)

Table of contents

  1. Front Matter
    Pages I-XVI
  2. Amir Dembo, Ofer Zeitouni
    Pages 1-10
  3. Amir Dembo, Ofer Zeitouni
    Pages 11-70
  4. Amir Dembo, Ofer Zeitouni
    Pages 71-114
  5. Amir Dembo, Ofer Zeitouni
    Pages 115-174
  6. Amir Dembo, Ofer Zeitouni
    Pages 175-250
  7. Amir Dembo, Ofer Zeitouni
    Pages 251-310
  8. Amir Dembo, Ofer Zeitouni
    Pages 311-339
  9. Back Matter
    Pages 341-398

About this book


The theory of large deviations deals with the evaluation, for a family of probability measures parameterized by a real valued variable, of the probabilities of events which decay exponentially in the parameter. Originally developed in the context of statistical mechanics and of (random) dynamical systems, it proved to be a powerful tool in the analysis of systems where the combined effects of random perturbations lead to a behavior significantly different from the noiseless case. The volume complements the central elements of this theory with selected applications in communication and control systems, bio-molecular sequence analysis, hypothesis testing problems in statistics, and the Gibbs conditioning principle in statistical mechanics.

Starting with the definition of the large deviation principle (LDP), the authors provide an overview of large deviation theorems in ${{\rm I\!R}}^d$ followed by their application. In a more abstract setup where the underlying variables take values in a topological space, the authors provide a collection of methods aimed at establishing the LDP, such as transformations of the LDP, relations between the LDP and Laplace's method for the evaluation for exponential integrals, properties of the LDP in topological vector spaces, and the behavior of the LDP under projective limits. They then turn to the study of the LDP for the sample paths of certain stochastic processes and the application of such LDP's to the problem of the exit of randomly perturbed solutions of differential equations from the domain of attraction of stable equilibria. They conclude with the LDP for the empirical measure of (discrete time) random processes: Sanov's theorem for the empirical measure of an i.i.d. sample, its extensions to Markov processes and mixing sequences and their application.

The present soft cover edition is a corrected printing of the 1998 edition.

Amir Dembo is a Professor of Mathematics and of Statistics at Stanford University. Ofer Zeitouni is a Professor of Mathematics at the Weizmann Institute of Science and at the University of Minnesota.


Area DEX DNA Rang Sharp convergence electrical engineering field large deviations mathematics mechanics probability statistics techniques tool

Authors and affiliations

  • Amir Dembo
    • 1
  • Ofer Zeitouni
    • 2
  1. 1.Dept. of StatisticsStanford UniversityStanfordU.S.A.
  2. 2.Dept. MathematicsUniversity of MinnesotaMinneapolisU.S.A.

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-03310-0
  • Online ISBN 978-3-642-03311-7
  • Series Print ISSN 0172-4568
  • About this book