Large Deviations Theory applications use in many different scientific fields, ranging from queuing theory to statistics and from finance to engineering. It is also increasingly used in statistical physics for studying both equilibrium and nonequilibrium systems. Large Deviations Theory formalizes the heuristic ideas of concentration of measures and widely generalizes the notion of convergence of probability measures. It concerns itself with the exponential decline of the probability measures of certain kinds of extreme or tail events.
