Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy
DOI10.1051/m2an/2020070zbMath1472.62042arXiv1906.09282OpenAlexW3092291045MaRDI QIDQ5006303
Jeremiah Birrell, Markos A. Katsoulakis, Luc Rey-Bellet
Publication date: 13 August 2021
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.09282
relative entropystochastic controluncertainty quantificationsemi-Markov queueing modelsnon-reversible diffusion processes
Robustness and adaptive procedures (parametric inference) (62F35) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
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