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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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Computing probability that $Ax\geq0$ where $x$ is a vector of iid gaussians and $A$ is matri...
You can determine the exact distribution of the Gaussian vector Ax but there is no closed formula for estimating its cumulative distribution function (see http://en.wikipedia.org/wiki/Multivariate_nor …