129 citations · 752 across the 80 of their papers we have counts for
4 papers · 1 filter
Markov Chain Approximations to Stochastic Differential Equations by Recombination on Lattice Trees
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
We revisit the classical problem of approximating a stochastic differential equation by a discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's th…
Grid-Free Computation of Probabilistic Safety with Malliavin Calculus
Francesco Cosentino, Harald Oberhauser, Alessandro Abate
This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probab…
Quantitative model-checking of controlled discrete-time Markov processes
Ilya Tkachev, Alexandru Mereacre, Joost-Pieter Katoen +1
This paper focuses on optimizing probabilities of events of interest defined over general controlled discrete-time Markov processes. It is shown that the optimization over a wide c…
On the effect of perturbation of conditional probabilities in total variation
Alessandro Abate, Frank Redig, Ilya Tkachev
A celebrated result by A. Ionescu Tulcea provides a construction of a probability measure on a product space given a sequence of regular conditional probabilities. We study how the…