Sanov’s asks how likely is it that the empirical distribution some IIDRV’s is far from the distribution. And shows that the relative entropy determines the likelihood of being far.
Category: Probability
Entropy and Boltzmann’s Distribution
Entropy and Relative Entropy occur sufficiently often in these notes to justify a (somewhat) self-contained section. We cover the discrete case which is the most intuitive.
Ito’s Formula: a heuristic derivation
- A heuristic look at the stochastic integral.
- heuristic derivation of Itô’s formula.
Basic Probability Bounds
- Markov’s Inequality; Chebychev’s Inequality; Chernoff’s Bound.
- Bounds for the Poisson Distribution.
