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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.

3 votes
1 answer
188 views

Example where concentration of measure fails nontrivially

A metric probability space $(X, \mu, \rho)$, i.e., a complete separable metric space with a probability measure on its Borel sets, is said to satisfy (Gaussian) concentration of measure property if th …
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1 vote
0 answers
152 views

Translation of Dellacherie's Capacités et Processus Stochastiques

I have been studying the Strasbourg school's general theory of processes from Dellacherie and Meyer's Probabilities and Potential, and I really like it. I have heard very good reviews about another bo …
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  • 141