Exit probabilities and optimal stochastic control

From MaRDI portal
Publication:1254226

DOI10.1007/BF01442148zbMath0398.93068MaRDI QIDQ1254226

Wendell H. Fleming

Publication date: 1978

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)




Related Items (75)

Spectral theory and limit theorems for geometrically ergodic Markov processesApproximating a diffusion by a finite-state hidden Markov modelRisk-sensitivity, large deviations and stochastic controlSingular perturbation problems and the Hamilton-Jacobi equationA PDE approach to some asymptotic problems concerning random differential equations with small noise intensitiesUnnamed ItemA Variational Characterization of Langevin-Smoluchowski DiffusionsLarge deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingalesA Probabilistic Deformation of Calculus of Variations with ConstraintsA sparse Markov chain approximation of LQ-type stochastic control problems.Large deviations for non-Markovian diffusions and a path-dependent Eikonal equationRemarks on elliptic singular perturbation problemsSchrödinger conditional brownian motion and stochastic calculus of variationsStochastic control and nonequilibrium thermodynamical systemsStochastic limit-cycle oscillations of a nonlinear system under random perturbationsNonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and controlA large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithmsGaussian stochastic volatility models: scaling regimes, large deviations, and moment explosionsRecent progress on the small parameter exit problemOn the Asymptotic Estimates for Exit Probabilities and Minimum Exit Rates of Diffusion Processes Pertaining to a Chain of Distributed Control SystemsVariational processes and stochastic versions of mechanicsGeometric ergodicity in a weighted Sobolev spaceStochastic viscosity approximations of Hamilton–Jacobi equations and variance reductionParticle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric modelAdaptation of a quantitative trait to a changing environment: new analytical insights on the asexual and infinitesimal sexual modelsGenerative methods for sampling transition paths in molecular dynamicsLarge Deviation Principle for the Greedy Exploration Algorithm over Erd\"os-R\'enyi GraphsLarge deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflectionsOn a stochastic control problem with exit constraintsLarge‐scale asymptotics of velocity‐jump processes and nonlocal Hamilton–Jacobi equationsRare event simulation via importance sampling for linear SPDE'sOptimal exit probabilities and differential gamesStochastic calculus of variations and mechanicsPhase transitions and metastability in Markovian and molecular systemsConnection between an exactly solvable stochastic optimal control problem and a nonlinear reaction-diffusion equationVariational and optimal control representations of conditioned and driven processesNonequilibrium Markov processes conditioned on large deviationsAsymptotic behavior of the first exit times of randomly perturbed dynamical systems with unstable equilibrium pointsAn introduction to the theory of large deviationsAn escape time interpretation of robust controlApproximation of bounds on mixed-level orthogonal arraysControllability of a Fokker-Planck equation, the Schrödinger system, and a related stochastic optimal control (revised version)Exponential descent of solutions of elliptic singular perturbation problemsPartial differential equations and stochastic methods in molecular dynamicsLarge deviation for diffusions and Hamilton-Jacobi equation in Hilbert spacesThe exponential resolvent of a Markov process and large deviations for Markov processes via Hamilton-Jacobi equationsA risk-sensitive maximum principleScaling limits for conditional diffusion exit problems and asymptotics for nonlinear elliptic equationsEponential Decay To Stable States In Phase Transitions Via A Double Log–TransformationPerturbed Dynamical Systems with an Attracting Singularity and Weak Viscosity Limits in Hamilton-Jacobi EquationsA dynamic programming approach to the Parisi functionalResonance Curves of Multidimensional Chaotic SystemsA comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensionsPath integrals and symmetry breaking for optimal control theoryMore on the long time stability of Feynman-Kac semigroupsVariational approach to rare event simulation using least-squares regressionNumerical computation of rare events via large deviation theoryUnnamed ItemSmall noise asymptotics for invariant densities for a class of diffusions: a control theoretic viewOn the multi-dimensional portfolio optimization with stochastic volatilityA variational characterization of the optimal exit rate for controlled diffusionsStochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger BridgeOPTIMAL FLUCTUATIONS AND THE CONTROL OF CHAOSLarge deviation principle for dynamical systems coupled with diffusion-transmutation processesLarge deviation estimates for some nonlocal equations. General bounds and applicationsThe Parisi formula has a unique minimizerA variational representation for certain functionals of Brownian motionMartingale problems for large deviations of Markov processesLagrange approach to the optimal control of diffusionsA stochastic control approach to reciprocal diffusion processesControlled interacting particle algorithms for simulation-based reinforcement learningStochastic variational formula for fundamental solutions of parabolic PDESome regularity results on the Ventcel-Freidlin quasi-potential functionLarge deviations of a forced velocity-jump process with a Hamilton-Jacobi approachDisordered high-dimensional optimal control



Cites Work


This page was built for publication: Exit probabilities and optimal stochastic control