搜索结果: 1-6 共查到“概率论 Diffusions”相关记录6条 . 查询时间(0.063 秒)
Probability on Groups: Random Walks and Invariant Diffusions
Invariant Diffusions Random Walks
2015/8/26
What do card shuffling, volume
growth, and Harnack inequalities
have to do with each other? They all
arise in the study of random walks
on groups. Probability on groups is
concerned with probabil...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
class of diffusions distribution random time Probability
2012/6/19
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion...
Importance Sampling for Multiscale Diffusions
importance sampling Monte Carlo homogenization multiscale rough energy landscape
2011/9/21
Abstract: We construct importance sampling schemes for stochastic differential equations with small noise and fast oscillating coefficients. Standard Monte Carlo methods perform poorly for these probl...
Branching diffusions in random environment
Branching process random environment diffusion approximation Laplace transform survival probability backbone construction
2011/9/6
Abstract: We consider the diffusion approximation of branching processes in random environment (BPREs). This diffusion approximation is similar to and mathematically more tractable than BPREs. We obta...
Small Noise Asymptotics for Invariant Densities for a Class of Diffusions: A Control Theoretic View (with Erratum)
diffusions invariant density small noise limit Hamilton-Jacobi equation viscosity solution
2011/9/2
Abstract: The uniqueness argument in the proof of Theorem 5, p. 483, of "Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view, J. Math. Anal. and Appl. (...
Existence of Linear-Quadratic Regulator for Degenerate Diffusions
Stochastic differential equation Hamilton-Jacobi-Bellman equation Linear-Quadratic problem Viscosity solutions Applications to control theory
2010/2/26
This paper studies a linear regulatory quadratic control problem for degenerate Hamilton-Jacobi-Bellman (HJB) equation. We establish the existence of a unique viscosity and a classical solution of the...