84 citations · 277 across the 25 of their papers we have counts for
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Infinite-dimensional bilinear and stochastic balanced truncation with error bounds
Simon Becker, Carsten Hartmann
Along the ideas of Curtain and Glover, we extend the balanced truncation method for infinite-dimensional linear systems to bilinear and stochastic systems. Specifically , we apply…
Singularly perturbed forward-backward stochastic differential equations: application to the optimal control of bilinear systems
Omar Kebiri, Lara Neureither, Carsten Hartmann
We study linear-quadratic stochastic optimal control problems with bilinear state dependence for which the underlying stochastic differential equation (SDE) consists of slow and fa…
Jarzynski's equality, fluctuation theorems, and variance reduction: Mathematical analysis and numerical algorithms
Carsten Hartmann, Christof Schuette, Wei Zhang
In this paper, we study Jarzynski's equality and fluctuation theorems for diffusion processes. While some of the results considered in the current work are known in the (mainly phy…
Adaptive importance sampling with forward-backward stochastic differential equations
Omar Kebiri, Lara Neureither, Carsten Hartmann
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on p…