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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Convergence analysis of one-point large deviations rate functions of numerical methods for stochastic wave equations with small noise
小噪声 随机波动方程 数值方法 单点大偏差率 函数收敛分析
2023/4/21
In this talk, we present the pointwise convergence of one-point large deviations rate functions (LDRFs) of the spatial finite difference method and further the fully discrete method based on the tempo...
Nonlinear Q-design for convex stochastic control
Nonlinear dynamic controller discrete linear constraint convex function parameters are random
2015/8/7
In this note we describe a version of the Q-design method that can be used to design nonlinear dynamic controllers for a discrete-time linear time-varying plant, with convex cost and constraint functi...
Performance bounds and suboptimal policies for linear stochastic control via LMIs
dynamic programming stochastic control convex optimization
2015/8/7
In a recent paper, the authors showed how to compute performance bounds for infinite horizon stochastic control problems with linear system dynamics and arbitrary constraints, objective, and noise dis...
Optimal phase response curves for stochastic synchronization of limit-cycle oscillators by common Poisson noise
Euler-Lagrange equation phase response curve limit-cycle oscillators Poisson noise
2011/7/6
We consider optimization of phase response curves for stochastic synchronization of non-
interacting limit-cycle oscillators by common Poisson impulsive signals. The optimal functional
shape for suf...
Small time asymptotics for stochastic evolution equations
Stochastic partial differential equations small time asymp-totics
2011/1/18
We obtain a large deviation principle describing the small time asymp-totics of the solution of a stochastic evolution equation with multiplicative noise. Our assumptions are a condition on the linear...
The stochastic reflection problem on an infinite dimensional convex set and BV functions in a Gelfand triple
infinite dimensional convex set BV functions
2010/11/23
In this paper, we introduce a definition of BV functions in a Gelfand triple which is an extension of the definition of BV functions in [1] by using Dirichlet form theory. By this definition, we can c...
Derivative Formula and Applications for Hyperdissipative Stochastic Navier-Stokes/Burgers Equations
Bismut formula coupling strong Feller stochastic Navier-Stokes equation
2010/12/1
By using coupling method, a Bismut type derivative formula is established for the Markov semigroup associated to a class of hyperdissipative stochastic Navier-Stokes/Burgers equations. As applications...
Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations
G-Brownian motion super linear expectation normal distribution backward stochastic differential equations
2010/11/30
This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is stablished to provide pro...