Results 211 to 220 of about 6,660 (232)

Performance of an IS Scheme Based on a Subsolution

Probability Theory and Stochastic Modelling, 2019
In Chap. 14 we considered the problem of rare event simulation associated with small noise discrete time Markov processes of the form analyzed in Chap. 4. Two types of events were emphasized: those that are described by process behavior on a bounded time interval (finite-time problems) and those that concern properties of the process over unbounded ...
Amarjit Budhiraja
exaly   +2 more sources

The Super-Subsolution Method

Applied Mathematical Sciences (Switzerland)
Kazuaki Taira
exaly   +2 more sources

Convexity and Subsolutions of Partial Differential Equations

Bulletin of the London Mathematical Society, 1986
It is well known that a convex increasing function composed with a subharmonic function yields another subharmonic function. This note presents an elementary, yet apparently new, argument in the context of harmonic spaces which produces a substantially more general theorem.
Gardiner, S. J., Klimek, M.
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On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling

ACM Transactions on Modeling and Computer Simulation, 2012
In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient importance sampling schemes. As we shall see, subsolutions can be derived by taking an appropriate limit of an associated Lyapunov inequality.
Jose H. Blanchet, Peter W. Glynn, Kevin Leder   +2 more
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Subsolutions and the Supercore of Cooperative Games

Mathematics of Operations Research, 1976
A generalization of the von Neumann-Morgenstern solution, called a subsolution, is introduced. Subsolulions exist for all games (in a nontrival way for games with a nonempty core), and can be interpreted as “standards of behavior.” A unique, distinguished subsolution called the supercore is also identified; it is the intersection of all subsolutions.
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Examples of Subsolutions and Their Application

2019
In this chapter we present examples to illustrate the importance sampling and splitting techniques developed in Chaps. 14, 15, and 16. There are many different types of problems one might consider, and the interested reader can find additional examples in the references [76, 77, 101, 103, 105, 110, 112, 113, 116, 117]. As mentioned in Chaps. 14 and 16,
Amarjit Budhiraja, Paul Dupuis
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On subsolutions of a non‐linear diffusion problem

Mathematical Methods in the Applied Sciences, 1989
AbstractIn the paper a subsolution of a non‐linear diffusion problem in the radial case is constructed. Some integral equation methods are used.
W. Okrasiński, E. Meister
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Subsolutions of shape functionals

2015
In this chapter we consider domains (quasi-open or measurable sets) Ω ⊂ ℝ d , which are optimal for a given functional ℱ only with respect to internal perturbations, i.e.
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Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

Mathematics of Operations Research, 2007
It was established in Dupuis and Wang [Dupuis, P., H. Wang. 2004. Importance sampling, large deviations, and differential games. Stoch. Stoch. Rep. 76 481–508, Dupuis, P., H. Wang. 2005. Dynamic importance sampling for uniformly recurrent Markov chains. Ann. Appl. Probab.
Paul Dupuis, Hui Wang 0003
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Elementary construction of exhausting subsolutions of elliptic operators

2004
A noncompact Riemannian manifold admits a \(C^\infty\) strictly subharmonic exhausting function as it follows by a theorem due to \textit{R. E. Greene} and {H. Wu} [Ann. Inst. Fourier 25, No. 1, 215--235 (1975; Zbl 0307.31003)]. An elementary proof of this fact is given by \textit{J.-P. Demailly} [Math. Z. 204, No.
Napier, Terrence, Ramachandran, Mohan
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