67 citations
- University of California, Los AngelesUS2 papers
- University of Massachusetts AmherstUS2 papers
- Albert Einstein College of MedicineUS1 paper
- Alcatel Lucent (Germany)DE1 paper
- AT&T (United States)US1 paper
- Bellbrook Labs (United States)US1 paper
- Bell (Canada)CA1 paper
- Boston CollegeUS1 paper
- Calumet College of Saint JosephUS1 paper
- Hebrew University of JerusalemIL1 paper
- Helsinki Institute of PhysicsFI1 paper
- Instituto Nacional de Pesquisas EspaciaisBR1 paper
4 papers · 1 filter
On the convergence from discrete to continuous time in an optimal stopping problem
Paul Dupuis, Hui Wang
We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonant…
Dynamic importance sampling for uniformly recurrent markov chains
Paul Dupuis, Hui Wang
Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. In standard importance sampling schemes, the system is si…
On Positive Recurrence of Constrained Diffusion Processes
Rami Atar, Amarjit Budhiraja, P. Dupuis
Let G \subset \R^k be a convex polyhedral cone with vertex at the origin given as the intersection of half spaces {G_i, i= 1, ..., N}, where n_i and d_i denote the inward normal an…
Large deviation asymptotics for occupancy problems
Paul Dupuis, Carl Nuzman, Phil Whiting
In the standard formulation of the occupancy problem one considers the distribution of r balls in n cells, with each ball assigned independently to a given cell with probability 1/…