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math.PR2015★ 1 cited
Path-space information bounds for uncertainty quantification and sensitivity analysis of stochastic dynamics
Paul Dupuis, Markos A. Katsoulakis, Yannis Pantazis +1
Uncertainty quantification is a primary challenge for reliable modeling and simulation of complex stochastic dynamics. Such problems are typically plagued with incomplete informati…
math.PR2015
Pathwise Sensitivity Analysis in Transient Regimes
Georgios Arampatzis, Markos A. Katsoulakis, Yannis Pantazis
The instantaneous relative entropy (IRE) and the corresponding instanta- neous Fisher information matrix (IFIM) for transient stochastic processes are pre- sented in this paper. Th…