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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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Vector version of concentration of Lipschitz functions on sphere (Levy's Lemma)

Levy's Lemma asserts Lipschitz functions of vectors chosen uniformly from the unit hypersphere concentrate: Lemma. Suppose $f:\mathbb{S}^{d-1} \to \mathbb{R}$ is $L$-Lipschitz on the unit hypersphere. …