Large deviations and importance sampling for systems of slow-fast motion (Q1946537): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W3105855952 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1202.5980 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Viscosity Solutions Methods for Singular Perturbations in Deterministic and Stochastic Control / rank
 
Normal rank
Property / cites work
 
Property / cites work: On ergodic stochastic control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviations for diffusion processes with homogenization and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4006399 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4189539 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Averaging of singularly perturbed controlled stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A variational representation for certain functionals of Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorem for controlled backward SDEs and homogenization of Hamilton-Jacobi-Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rates of convergence in periodic homogenization of fully nonlinear uniformly elliptic PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4388221 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviations for multiscale diffusion via weak convergence methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Importance Sampling for Multiscale Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Periodic homogenisation of certain fully nonlinear partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Small-time asymptotics for fast mean-reverting stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A comparison of homogenization and large deviations, with applications to wavefront propagation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing the Effective Hamiltonian Using a Variational Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simultaneous Effects of Homogenization and Vanishing Viscosity in Fully Nonlinear Elliptic Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodic type Bellman equations of first order with quadratic Hamiltonian / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak convergence methods and singularly perturbed stochastic control and filtering problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviations for two-time-scale diffusions, with delays / rank
 
Normal rank
Property / cites work
 
Property / cites work: Homogenization of degenerate second-order PDE in periodic and almost periodic environments and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviations for two scaled diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Poisson equation and diffusion approximation. II. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiscale Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: On large deviations in the averaging principle for SDEs with a ``full dependence'' / rank
 
Normal rank
Property / cites work
 
Property / cites work: On large deviations for SDEs with small diffusion and averaging. / rank
 
Normal rank

Latest revision as of 09:25, 6 July 2024

scientific article
Language Label Description Also known as
English
Large deviations and importance sampling for systems of slow-fast motion
scientific article

    Statements

    Large deviations and importance sampling for systems of slow-fast motion (English)
    0 references
    15 April 2013
    0 references
    0 references
    0 references
    0 references
    0 references
    importance sampling
    0 references
    Monte Carlo
    0 references
    large deviations
    0 references
    homogenization
    0 references
    multiscale
    0 references
    slow-fast motion
    0 references
    stochastic differential equations
    0 references
    cell problem
    0 references
    Hamilton-Jacobi-Bellman
    0 references
    asymptotic optimality
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references