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Rare event simulation for multiscale diffusions in random environments
Konstantinos Spiliopoulos
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fi…
Indifference pricing for Contingent Claims: Large Deviations Effects
Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors. We m…
Variance reduction for irreversible Langevin samplers and diffusion on graphs
Luc Rey-Bellet, Konstantinos Spiliopoulos
In recent papers it has been demonstrated that sampling a Gibbs distribution from an appropriate time-irreversible Langevin process is, from several points of view, advantageous wh…
Irreversible Langevin samplers and variance reduction: a large deviation approach
Luc Rey-Bellet, Kostantinos Spiliopoulos
In order to sample from a given target distribution (often of Gibbs type), the Monte Carlo Markov chain method consists in constructing an ergodic Markov process whose invariant me…