Student Probability Seminar

---

Large Deviation Principles and Hamilton-Jacobi Equations

Speaker: Elias Hess-Childs, CIMS

Location: Warren Weaver Hall 312

Date: Tuesday, March 1, 2022, 9:50 a.m.

Synopsis:

The relationship between stochastic differential equations and elliptic PDE is well known, but a similar analogue exists between large deviation principles and Hamilton-Jacobi equations. To demonstrate this, I will use the vanishing viscosity method and control theory to sketch a proof of Schilder’s theorem. More generally, homogenization of HJ-equations can be used to show LDPs hold for more complicated systems.