Many situations exist in which solutions to problems are represented as function space integrals. Such representations can be used to study the qualitative properties of the solutions and to evaluate them numerically using Monte Carlo methods. The emphasis in this book is on the behavior of solutions in special situations when certain parameters get large or small.

An introduction to stochastic processes studying certain elementary continuous-time processes. It includes a description of the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite numb

Includes: 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. His first paper appeared in Sankhya, the Indian Journal of Statistics in 1962. Together with his fellow students V. S. Varadarajan, R. Ranga Rao and K. R. Parthasarathy, Varadhan began the study of probability on topological groups and on Hilbert spaces, and quickly gained an international reputation. At this time Varadhan realised that there are strong connections between Markov processes and differential equations, and in 1963 he...