Large deviations and importance sampling for systems of slow-fast motion
From MaRDI portal
Publication:1946537
DOI10.1007/s00245-012-9183-zzbMath1259.93136arXiv1202.5980OpenAlexW3105855952MaRDI 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 Carloimportance samplingstochastic differential equationshomogenizationlarge deviationsmultiscaleasymptotic optimalityHamilton-Jacobi-Bellmancell problemslow-fast motion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20)
Related Items (26)
Large and moderate deviations for stochastic Volterra systems ⋮ Rare Event Simulation for Multiscale Diffusions in Random Environments ⋮ Importance Sampling for Metastable and Multiscale Dynamical Systems ⋮ Random perturbations of a periodically driven nonlinear oscillator: escape from a resonance zone ⋮ Large deviations for synchronized system ⋮ Fluctuation analysis for a class of nonlinear systems with fast periodic sampling and small state-dependent white noise ⋮ Large deviations for the two-time-scale stochastic convective Brinkman-Forchheimer equations ⋮ Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs ⋮ Approximation of linear controlled dynamical systems with small random noise and fast periodic sampling ⋮ Singular perturbations in stochastic optimal control with unbounded data ⋮ Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations ⋮ Pathwise large deviations for the rough Bergomi model ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ Large deviation for two-time-scale stochastic burgers equation ⋮ Importance sampling in path space for diffusion processes with slow-fast variables ⋮ Importance sampling: intrinsic dimension and computational cost ⋮ Fluctuation analysis and short time asymptotics for multiple scales diffusion processes ⋮ Mean field limits for interacting diffusions in a two-scale potential ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion ⋮ Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions ⋮ Typical dynamics and fluctuation analysis of slow–fast systems driven by fractional Brownian motion ⋮ Large deviations and averaging for systems of slow-fast stochastic reaction-diffusion equations ⋮ Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations ⋮ Jarzynski's equality, fluctuation theorems, and variance reduction: mathematical analysis and numerical algorithms ⋮ Large deviations for interacting multiscale particle systems ⋮ Large deviations for some fast stochastic volatility models by viscosity methods
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large deviations for multiscale diffusion via weak convergence methods
- Small-time asymptotics for fast mean-reverting stochastic volatility models
- Large deviations for two-time-scale diffusions, with delays
- Limit theorem for controlled backward SDEs and homogenization of Hamilton-Jacobi-Bellman equations
- Large deviations for diffusion processes with homogenization and applications
- Weak convergence methods and singularly perturbed stochastic control and filtering problems
- A variational representation for certain functionals of Brownian motion
- On Poisson equation and diffusion approximation. II.
- A comparison of homogenization and large deviations, with applications to wavefront propagation
- On large deviations in the averaging principle for SDEs with a ``full dependence
- On large deviations for SDEs with small diffusion and averaging.
- Large deviations for two scaled diffusions
- Ergodic type Bellman equations of first order with quadratic Hamiltonian
- Averaging of singularly perturbed controlled stochastic differential equations
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- Homogenization of degenerate second-order PDE in periodic and almost periodic environments and applications
- Importance Sampling for Multiscale Diffusions
- Rates of convergence in periodic homogenization of fully nonlinear uniformly elliptic PDEs
- Periodic homogenisation of certain fully nonlinear partial differential equations
- On ergodic stochastic control
- Viscosity Solutions Methods for Singular Perturbations in Deterministic and Stochastic Control
- Computing the Effective Hamiltonian Using a Variational Approach
- Simultaneous Effects of Homogenization and Vanishing Viscosity in Fully Nonlinear Elliptic Equations
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- Multiscale Methods
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
This page was built for publication: Large deviations and importance sampling for systems of slow-fast motion
