Large deviation for diffusions and Hamilton-Jacobi equation in Hilbert spaces (Q2493182): Difference between revisions

The author proves large deviations for Markov processes by means of the associated Hamilton-Jacobi equation techniques, and illustrates the method to a class of Hilbert-space-valued small diffusion processes.

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reviewed by

Gheorghe Stoica

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MaRDI profile type

MaRDI publication profile

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cites work

Q4073917

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Exit Time Problems in Optimal Control and Vanishing Viscosity Method

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Comparison principle for Dirichlet-type Hamilton-Jacobi equations and singular perturbations of degenerated elliptic equations

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Large deviation problem for some parabolic itǒ equations

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User’s guide to viscosity solutions of second order partial differential equations

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Generation of Semi-Groups of Nonlinear Transformations on General Banach Spaces

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Q4276412

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Stochastic Equations in Infinite Dimensions

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Large deviations from the mckean-vlasov limit for weakly interacting diffusions

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Q4355981

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Q4391441

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Asymptotic evaluation of certain markov process expectations for large time, I

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Nonconvex minimization problems

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Q3721531

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A PDE approach to some asymptotic problems concerning random differential equations with small noise intensities

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Martingale problems for large deviations of Markov processes

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Q3409967

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Exit probabilities and optimal stochastic control

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Large deviations for a class of stochastic partial differential equations

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Q3783928

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Q4023811

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Large deviation principle for stochastic evolution equations

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Large deviations for a reaction-diffusion equation with non-Gaussian perturbations

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Q4002759

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Viscosity solutions of Hamilton-Jacobi equations with unbounded nonlinear terms

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Viscosity solutions for Hamilton-Jacobi equations with unbounded nonlinear term: A simplified approach

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Identifiers

zbMATH Open document ID

1091.60002

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DOI

10.1214/009117905000000567

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2493182

@@ Property / cites work @@
+Q4073917
@@ Property / cites work: Q4073917 / rank @@
+Normal rank
@@ Property / cites work @@
+Exit Time Problems in Optimal Control and Vanishing Viscosity Method
+Normal rank
@@ Property / cites work @@
+Comparison principle for Dirichlet-type Hamilton-Jacobi equations and singular perturbations of degenerated elliptic equations
+Normal rank
@@ Property / cites work @@
+Large deviation problem for some parabolic itǒ equations
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Generation of Semi-Groups of Nonlinear Transformations on General Banach Spaces
+Normal rank
@@ Property / cites work @@
+Q4276412
@@ Property / cites work: Q4276412 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations from the mckean-vlasov limit for weakly interacting diffusions
+Normal rank
@@ Property / cites work @@
+Q4355981
@@ Property / cites work: Q4355981 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic evaluation of certain markov process expectations for large time, I
+Normal rank
@@ Property / cites work @@
+Nonconvex minimization problems
@@ Property / cites work: Nonconvex minimization problems / rank @@
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+A PDE approach to some asymptotic problems concerning random differential equations with small noise intensities
+Normal rank
@@ Property / cites work @@
+Martingale problems for large deviations of Markov processes
+Normal rank
@@ Property / cites work @@
+Q3409967
@@ Property / cites work: Q3409967 / rank @@
+Normal rank
@@ Property / cites work @@
+Exit probabilities and optimal stochastic control
@@ Property / cites work: Exit probabilities and optimal stochastic control / rank @@
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3692136
@@ Property / cites work: Q3692136 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3759612
@@ Property / cites work: Q3759612 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4225410
@@ Property / cites work: Q4225410 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations for a class of stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Q3783928
@@ Property / cites work: Q3783928 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4023811
@@ Property / cites work: Q4023811 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviation principle for stochastic evolution equations
+Normal rank
@@ Property / cites work @@
+Large deviations for a reaction-diffusion equation with non-Gaussian perturbations
+Normal rank
@@ Property / cites work @@
+Q4002759
@@ Property / cites work: Q4002759 / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of Hamilton-Jacobi equations with unbounded nonlinear terms
+Normal rank
@@ Property / cites work @@
+Viscosity solutions for Hamilton-Jacobi equations with unbounded nonlinear term: A simplified approach
+Normal rank