66 citations · 124 across the 6 of their papers we have counts for
6 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…
Explicit solution for a network control problem in the large deviation regime
Rami Atar, Paul Dupuis, Adam Shwartz
We consider optimal control of a stochastic network,where service is controlled to prevent buffer overflow. We use a risk-sensitive escape time criterion, which in comparison to th…
An escape time criterion for queueing networks: Asymptotic risk-sensitive control via differential games
Rami Atar, Paul Dupuis, Adam Shwartz
We consider the problem of risk-sensitive control of a stochastic network. In controlling such a network, an escape time criterion can be useful if one wishes to regulate the occur…
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/…