Large Deviations final

May 30th, 2007 ~ Posted in: General

I’m so screwed: check out my Large Deviations final. I’m totally not prepared for this. I haven’t been doing much beyond going to class and attempting my best to follow the ideas and proofs in class.

That said, I have about no idea how to do problem 3: we talked about a large deviation principle for a single Ito process, but I’ve been unable to apply that so far. Problem 4 is a give-away problem, and I’m almost certain that my approach to 1a is the best given what we learnt in class, but I’m too shaky on the others.

Sooo freaking screwed! And I still have to study for my 106 final tomorrow: I have about half of the class notes left to review.

General ~

2 Responses to “Large Deviations final”

  • 1. George
    June 4th, 2007 at 9:39 pm

    Am I missing something on problem 4? What is there to estimate? We know the exact distributions of the S_n’s there.

  • 2. Alex
    June 5th, 2007 at 11:20 am

    I think the point of that problem was to show us not to just mindlessly attempt large deviations techniques, because sometimes we can calculate the probabilities exactly, and other times large deviation techniques don’t apply at all (like with the Cauchy density).

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