Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets†

DOI10.1080/17442508708833451zbMath0614.60023OpenAlexW1978160301MaRDI QIDQ4721309

Paul Dupuis

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://purl.umn.edu/4382

zbMATH Keywords

stochastic approximation algorithmsreflection at the boundarylarge deviations of a diffusion

Mathematics Subject Classification ID

Stochastic approximation (62L20) Diffusion processes (60J60) Large deviations (60F10)

Related Items (15)

Large deviations analysis for distributed algorithms in an ergodic Markovian environment ⋮ On the stability of projected dynamical systems ⋮ Data-driven non-Markovian closure models ⋮ Distributed Stochastic Approximation with Local Projections ⋮ On a new class of differential variational inequalities and a stability result ⋮ Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ Small perturbations of random evolution equations with reflection in Hölder norm ⋮ The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations ⋮ Stability for equilibrium problems: From variational inequalities to dynamical systems ⋮ Stochastic approximation on Riemannian manifolds ⋮ Large deviations results for the exit problem with characteristic boundary ⋮ Projected dynamical systems in a complementarity formalism ⋮ Dynamical systems and variational inequalities ⋮ Large deviations of currents in diffusions with reflective boundaries

Cites Work

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• Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
• Stochastic approximation methods for constrained and unconstrained systems
• Stochastic Approximations via Large Deviations: Asymptotic Properties
• Stochastic differential equations with reflecting boundary conditions
• An introduction to the theory of large deviations

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