00:00:00 Abel Prize ceremonies (Norwegian) 00:01:00 Interview with Skau and Raussen starts 00:02:30 wby so long for probability or statistics to be recognised? 00:04:35 born and raised on Chennai, studied at Madras; mathematical influences 00:05:52 excellent math. teacher, math. for enjoyment 00:07:30 why graduate in Statistics? 00:08:45 in Kolkata at the ISI, limit theorems in higher-dimensional spaces, collaborators 00:10:05 no formal guidance, just research and advice, no courses; Rao, Parthasarathy 00:11:32 we learnt whatever tooks we needed to solve the problem at hand, lot of fun, 7am-9pm working hours 00:12:22 pure vs. applied math distinction not really there 00:13:45 how to translate your intuition into rigorous math 00:14:05 move from India to the Courant Institute, but still Indian? 00:15:25 practising Hindu 00:15:55 classical Indian training in analysis helpful 00:16:45 Ramanjuan, how his mind work remains opaque 00:18:35 Tata Institute vs. ISI 00:21:00 Third World Academy of Sciences, Chennai 00:22:35 what attracted you to Probability Theory, had some intuition for it 00:23:50 [question missing] visit of Kolmogorov to India in 1962 00:26:02 "when Kolmogorov gets up to speak they should wait and listen!" 00:26:10 Large deviations, Esscher tilt (en.wikipedia.org/wiki/Esscher_transform) 00:29:22 what was a tail event becomes a central event, asymptotics of tail probabilities 00:30:36 applications in finance? 00:30:50 not just what the (small) probability of a tail event is, but also how did it occur, Esscher tilt 00:32:15 Large Deviation Principle (en.wikipedia.org/wiki/Rate_function), Donsker-Varadhan Rate function 00:34:40 Varadhan integral lemma 00:37:15 Kac's formula for first eigenvalue of the Schrodinger operator 00:40:30 hard, sustained problem-solving 00:42:12 Strook, diffusion processes, SDEs, (Ito, Levy), as martingale problem, Kac, heat equation 00:49:00 theory of hydrodynamic limits (scaling), view as travelling particle, small system of non-linear PDEs 00:58:14 thinking style: prefers physical thinking, then analytical 00:59:15 beauty, aesthetics: mathematically simple explanations of complex behaviour 01:00:10 Courant Institute, Courant, 01:02:42 public awareness of math.; how to enhance our image 01:06:18 other Norwegian prizes surrounding the Abel 01:07:05 other interests - travel, classical music, theatre, movies, Tamil literature 01:08:58 conclusion
See The Abel Prize: 2003-2007 The First Five Years, edited by Helge Holden, Ragni Piene books.google.com/books?id=bzn2RIYwOXUC&lpg=PR5&ots=T52ROzn5nr&dq=skau%20raussen%20abel&pg=PR5#v=onepage&q&f=false Interview with Srinivasa Varadhan (Raussen, Skau) www.ams.org/notices/200802/tx080200238p.pdf 00:00 Abel Prize ceremonies (Norwegian) 01:00 Interview with Skau and Raussen starts 02:30 wby so long for probability or statistics to be recognised? 04:35 born and raised on Chennai, studied at Madras; mathematical influences 05:52 excellent math. teacher, math. for enjoyment 07:30 why graduate in Statistics? 08:45 in Kolkata at the ISI, limit theorems in higher-dimensional spaces, collaborators 10:05 no formal guidance, just research and advice, no courses; Rao, Parthasarathy 11:32 we learnt whatever tooks we needed to solve the problem at hand, lot of fun, 7am-9pm working hours 12:22 pure vs. applied math distinction not really there 13:45 how to translate your intuition into rigorous math 14:05 move from India to the Courant Institute, but still Indian? 15:25 practising Hindu 15:55 classical Indian training in analysis helpful 16:45 Ramanjuan, how his mind work remains opaque 18:35 Tata Institute vs. ISI 21:00 Third World Academy of Sciences, Chennai 22:35 what attracted you to Probability Theory, had some intuition for it 23:50 [question missing] visit of Kolmogorov to India in 1962 26:02 "when Kolmogorov gets up to speak they should wait and listen!" 26:10 Large deviations, Esscher tilt (en.wikipedia.org/wiki/Esscher_transform) 29:22 what was a tail event becomes a central event, asymptotics of tail probabilities 30:36 applications in finance? 30:50 not just what the (small) probability of a tail event is, but also how did it occur, Esscher tilt 32:15 Large Deviation Principle (en.wikipedia.org/wiki/Rate_function), Donsker-Varadhan Rate function 34:40 Varadhan integral lemma 37:15 Kac's formula for first eigenvalue of the Schrodinger operator 40:30 hard, sustained problem-solving 42:12 Strook, diffusion processes, SDEs, (Ito, Levy), as martingale problem, Kac, heat equation 49:00 theory of hydrodynamic limits (scaling), view as travelling particle, small system of non-linear PDEs 58:14 thinking style: prefers physical thinking, then analytical 59:15 beauty, aesthetics: mathematically simple explanations of complex behaviour 1:00:10 Courant Institute, Courant, 1:02:42 public awareness of math.; how to enhance our image 1:06:18 other Norwegian prizes surrounding the Abel 1:07:05 other interests - travel, classical music, theatre, movies, Tamil literature 1:08:58 conclusion
Thank you for this interview, SRS Varadhan is a great statistician of our times!
00:00:00 Abel Prize ceremonies (Norwegian)
00:01:00 Interview with Skau and Raussen starts
00:02:30 wby so long for probability or statistics to be recognised?
00:04:35 born and raised on Chennai, studied at Madras; mathematical influences
00:05:52 excellent math. teacher, math. for enjoyment
00:07:30 why graduate in Statistics?
00:08:45 in Kolkata at the ISI, limit theorems in higher-dimensional spaces, collaborators
00:10:05 no formal guidance, just research and advice, no courses; Rao, Parthasarathy
00:11:32 we learnt whatever tooks we needed to solve the problem at hand, lot of fun, 7am-9pm working hours
00:12:22 pure vs. applied math distinction not really there
00:13:45 how to translate your intuition into rigorous math
00:14:05 move from India to the Courant Institute, but still Indian?
00:15:25 practising Hindu
00:15:55 classical Indian training in analysis helpful
00:16:45 Ramanjuan, how his mind work remains opaque
00:18:35 Tata Institute vs. ISI
00:21:00 Third World Academy of Sciences, Chennai
00:22:35 what attracted you to Probability Theory, had some intuition for it
00:23:50 [question missing] visit of Kolmogorov to India in 1962
00:26:02 "when Kolmogorov gets up to speak they should wait and listen!"
00:26:10 Large deviations, Esscher tilt (en.wikipedia.org/wiki/Esscher_transform)
00:29:22 what was a tail event becomes a central event, asymptotics of tail probabilities
00:30:36 applications in finance?
00:30:50 not just what the (small) probability of a tail event is, but also how did it occur, Esscher tilt
00:32:15 Large Deviation Principle (en.wikipedia.org/wiki/Rate_function), Donsker-Varadhan Rate function
00:34:40 Varadhan integral lemma
00:37:15 Kac's formula for first eigenvalue of the Schrodinger operator
00:40:30 hard, sustained problem-solving
00:42:12 Strook, diffusion processes, SDEs, (Ito, Levy), as martingale problem, Kac, heat equation
00:49:00 theory of hydrodynamic limits (scaling), view as travelling particle, small system of non-linear PDEs
00:58:14 thinking style: prefers physical thinking, then analytical
00:59:15 beauty, aesthetics: mathematically simple explanations of complex behaviour
01:00:10 Courant Institute, Courant,
01:02:42 public awareness of math.; how to enhance our image
01:06:18 other Norwegian prizes surrounding the Abel
01:07:05 other interests - travel, classical music, theatre, movies, Tamil literature
01:08:58 conclusion
You are god. Thanks for time stamps.
Thank you 😊💓
See The Abel Prize: 2003-2007 The First Five Years, edited by Helge Holden, Ragni Piene
books.google.com/books?id=bzn2RIYwOXUC&lpg=PR5&ots=T52ROzn5nr&dq=skau%20raussen%20abel&pg=PR5#v=onepage&q&f=false
Interview with Srinivasa Varadhan (Raussen, Skau)
www.ams.org/notices/200802/tx080200238p.pdf
00:00 Abel Prize ceremonies (Norwegian)
01:00 Interview with Skau and Raussen starts
02:30 wby so long for probability or statistics to be recognised?
04:35 born and raised on Chennai, studied at Madras; mathematical influences
05:52 excellent math. teacher, math. for enjoyment
07:30 why graduate in Statistics?
08:45 in Kolkata at the ISI, limit theorems in higher-dimensional spaces, collaborators
10:05 no formal guidance, just research and advice, no courses; Rao, Parthasarathy
11:32 we learnt whatever tooks we needed to solve the problem at hand, lot of fun, 7am-9pm working hours
12:22 pure vs. applied math distinction not really there
13:45 how to translate your intuition into rigorous math
14:05 move from India to the Courant Institute, but still Indian?
15:25 practising Hindu
15:55 classical Indian training in analysis helpful
16:45 Ramanjuan, how his mind work remains opaque
18:35 Tata Institute vs. ISI
21:00 Third World Academy of Sciences, Chennai
22:35 what attracted you to Probability Theory, had some intuition for it
23:50 [question missing] visit of Kolmogorov to India in 1962
26:02 "when Kolmogorov gets up to speak they should wait and listen!"
26:10 Large deviations, Esscher tilt (en.wikipedia.org/wiki/Esscher_transform)
29:22 what was a tail event becomes a central event, asymptotics of tail probabilities
30:36 applications in finance?
30:50 not just what the (small) probability of a tail event is, but also how did it occur, Esscher tilt
32:15 Large Deviation Principle (en.wikipedia.org/wiki/Rate_function), Donsker-Varadhan Rate function
34:40 Varadhan integral lemma
37:15 Kac's formula for first eigenvalue of the Schrodinger operator
40:30 hard, sustained problem-solving
42:12 Strook, diffusion processes, SDEs, (Ito, Levy), as martingale problem, Kac, heat equation
49:00 theory of hydrodynamic limits (scaling), view as travelling particle, small system of non-linear PDEs
58:14 thinking style: prefers physical thinking, then analytical
59:15 beauty, aesthetics: mathematically simple explanations of complex behaviour
1:00:10 Courant Institute, Courant,
1:02:42 public awareness of math.; how to enhance our image
1:06:18 other Norwegian prizes surrounding the Abel
1:07:05 other interests - travel, classical music, theatre, movies, Tamil literature
1:08:58 conclusion