351 citations
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Showing 2005 · math.PRShow all
3 papers · 2 filters
math.PR2005★ 34 cited
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…
math.PR2005★ 66 cited
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…
math.PR2005
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…