Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
From MaRDI portal
Publication:6050023
DOI10.1051/m2an/2023042zbMath1523.35124arXiv2111.10819MaRDI QIDQ6050023
Publication date: 18 September 2023
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2111.10819
Monte Carlo methodsHamilton-Jacobi equationsvariance reductionFeynman-Kac formulaviscosity solutions
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Hamilton-Jacobi equations (35F21)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
- Continuous-time stochastic control and optimization with financial applications
- Exit probabilities and optimal stochastic control
- Counterexamples in importance sampling for large deviations probabilities
- Introduction to rare event simulation.
- Large deviations of empirical measures of diffusions in weighted topologies
- Efficient large deviation estimation based on importance sampling
- Error estimates on ergodic properties of discretized Feynman-Kac semigroups
- Rare event simulation for stochastic dynamics in continuous time
- Dynamic importance sampling for queueing networks
- Controlled Markov processes and viscosity solutions
- Improved Diffusion Monte Carlo
- Two approximations of solutions of Hamilton-Jacobi equations
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- Rare Event Simulation of Small Noise Diffusions
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions
- Numerical computation of rare events via large deviation theory
- Ergodic Properties of Markov Processes
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- Partial differential equations and stochastic methods in molecular dynamics
