Analysis and approximation of rare events. Representations and weak convergence methods
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Publication:5376565
DOI10.1007/978-1-4939-9579-0zbMATH Open1427.60003OpenAlexW4242695360MaRDI QIDQ5376565FDOQ5376565
Authors: Paul Dupuis, Amarjit Budhiraja 
Publication date: 13 May 2019
Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-9579-0
Recommendations
large deviationscontinuous time processesdiscrete time processesrelative entropytightness of measuresinfinite dimensional Brownian noiseMonte Carlo for rare events
Convergence of probability measures (60B10) Monte Carlo methods (65C05) Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) Random measures (60G57) Jump processes on general state spaces (60J76) Jump processes on discrete state spaces (60J74)
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- Sample path moderate deviations for shot noise processes in the high intensity regime
- Large deviation principle for stochastic reaction-diffusion equations with superlinear drift on \(\mathbb{R}\) driven by space-time white noise
- Importance sampling for a simple Markovian intensity model using subsolutions
- Importance sampling for stochastic reaction-diffusion equations in the moderate deviation regime
- Large deviation principle in discrete time nonlinear filtering
- A large deviation principle for nonlinear stochastic wave equation driven by rough noise
- Ergodic control of resource sharing networks: lower bound on asymptotic costs
- Reduction of a stochastic model of gene expression: Lagrangian dynamics gives access to basins of attraction as cell types and metastabilty
- Robust bounds and optimization at the large deviations scale for queueing models via Rényi divergence
- Large Deviations for Stochastic Generalized Porous Media Equations Driven by Lévy Noise
- Empirical measure large deviations for reinforced chains on finite spaces
- A new approach to large deviations for the Ginzburg-Landau model
- Variational representations and neural network estimation of Rényi divergences
- Non-equilibrium large deviations and parabolic-hyperbolic PDE with irregular drift
- Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
- Some large deviation asymptotics in small noise filtering problems
- Uniform large deviation principle for the solutions of two-dimensional stochastic Navier-Stokes equations in vorticity form
- Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations
- Large-deviation principles of switching Markov processes via Hamilton-Jacobi equations
- Many-server asymptotics for join-the-shortest-queue: large deviations and rare events
- Splitting algorithms for rare event simulation over long time intervals
- Analysis and optimization of certain parallel Monte Carlo methods in the low temperature limit
- Moderate deviations for rough differential equations
- Asymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noise
- Large deviations for configurations generated by Gibbs distributions with energy functionals consisting of singular interaction and weakly confining potentials
- A Koopman framework for rare event simulation in stochastic differential equations
- Large deviation properties of the empirical measure of a metastable small noise diffusion
- Pathwise large deviations for white noise chaos expansions
- Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure
- Large and moderate deviation principles for path-distribution-dependent stochastic differential equations
- Large deviations of conservative stochastic partial differential equations
- Splitting algorithms for rare events of semimartingale reflecting Brownian motions
- Large deviations for small noise diffusions over long time
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Large deviations for the single-server queue and the reneging paradox
- The large deviation principle for interacting dynamical systems on random graphs
- Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions
- Large deviations for Lévy diffusions in the small noise regime
- Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions
- A large deviation principle for the stochastic heat equation with general rough noise
- Large deviations and long-time behavior of stochastic fluid queues with generalized fractional Brownian motion input
- Phase transitions for \(\phi^4_3\)
- Large deviations for synchronized system
- Data-driven method to learn the most probable transition pathway and stochastic differential equation
- Large deviation principle for multi-scale distribution-dependent stochastic differential equations driven by fractional Brownian motions
- Dynamics in a stochastic diffusive plant-herbivore system
- Rare event asymptotics for exploration processes for random graphs
- Large deviation principle for stochastic convective Brinkman-Forchheimer equations perturbed by pure jump noise
- Large deviation principle for stochastic Burgers type equation with reflection
- Moderate deviations for stochastic Cahn-Hilliard equations with a random dynamical boundary driven by Poisson random measures
- Large deviations for the empirical measure of the zig-zag process
- Large and moderate deviation principles for McKean-Vlasov SDEs with jumps
- Quantitative approximate independence for continuous mean field Gibbs measures
- The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps
- A large deviation principle for the empirical measures of Metropolis-Hastings chains
- The law of the iterated logarithm for a class of SPDEs
- Large and moderate deviations for stochastic Volterra systems
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