Books written by S. R. Srinivasa Varadhan.
Known and recognized with the Abel Prize for his fundamental contributions to probability theory and in particular for creating a unified theory of large deviation.
Probability Theory
This volume presents topics in probability theory covered during a first-year graduate course given at the Courant Institute of Mathematical Sciences, USA. The necessary background material in measure theory is developed, including the standard topics, such as extension theorem, construction of measures, integration, product spaces, Radon-Nikodym theorem, and conditional expectation.
Stochastic Processes
This is a brief introduction to stochastic processes studying certain elementary continuous-time processes. After a description of the Poisson process and related processes with independent increments as well as a brief look at Markov processes with a finite number of jumps, the author proceeds to introduce Brownian motion and to develop stochastic integrals.
Large Deviations and Applications
Many situations exist in which solutions to problems are represented as function space integrals. Such representations can be used to study the qualitative properties of the solutions and to evaluate them numerically using Monte Carlo methods.
