Large deviations and importance sampling for systems of slow-fast motion
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Publication:1946537
DOI10.1007/s00245-012-9183-zzbMath1259.93136arXiv1202.5980MaRDI QIDQ1946537
Publication date: 15 April 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.5980
Monte Carlo; importance sampling; stochastic differential equations; homogenization; large deviations; multiscale; asymptotic optimality; Hamilton-Jacobi-Bellman; cell problem; slow-fast motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93C57: Sampled-data control/observation systems
93E20: Optimal stochastic control