Stochastic optimal control and importance sampling for diffusion processes

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• Han Cheng Lie (University of Potsdam)
• Tuesday 11 May 2021, 15:00-16:00
• https://bham-ac-uk.zoom.us/j/3900445385?pwd=Mk1LSmRiUk5STEJMWVl0bE82NTM1QT09.

If you have a question about this talk, please contact Hong Duong.

Diffusion processes described by stochastic differential equations play an important role in many applications, such as molecular dynamics. In these applications, one often aims to estimate the expected value of a path functional with respect to the law of the diffusion process. One approach to this problem involves importance sampling via a change of measure, where the optimal change of measure is unique and yields a zero-variance estimator. Finding the optimal change of measure can be formulated as a stochastic optimal control problem. These problems can be solved computationally using methods based on gradient descent. We analyse a class of stochastic optimal control problems with the aim of understanding the convergence of gradient descent-based methods.

This talk is part of the Data Science and Computational Statistics Seminar series.

This talk is included in these lists:

• Analysis Seminar
• Data Science and Computational Statistics Seminar
• School of Mathematics Events
• https://bham-ac-uk.zoom.us/j/3900445385?pwd=Mk1LSmRiUk5STEJMWVl0bE82NTM1QT09

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