47 citations · 272 across the 43 of their papers we have counts for
6 papers · 1 filter
Sensitivity of SDE Solutions to Perturbations of the Diffusion and Drift
Jeremiah Birrell
We develop a method for bounding the sensitivity of solutions to stochastic differential equations (SDEs) to changes in the drift, , and diffusion, , by using a combination o…
Distributional Robustness and Uncertainty Quantification for Rare Events
Jeremiah Birrell, Paul Dupuis, Markos A. Katsoulakis +2
Rare events, and more general risk-sensitive quantities-of-interest (QoIs), are significantly impacted by uncertainty in the tail behavior of a distribution. Uncertainty in the tai…
Concentration Inequalities and UQ Bounds for Hypocoercive MCMC Samplers
Jeremiah Birrell, Luc Rey-Bellet
In this work we provide performance guarantees for hypocoercive non-reversible MCMC samplers with invariant measure ; our results apply in particular to the Langevin equ…
Quantification of Model Uncertainty on Path-Space via Goal-Oriented Relative Entropy
Jeremiah Birrell, Markos A. Katsoulakis, Luc Rey-Bellet
Quantifying the impact of parametric and model-form uncertainty on the predictions of stochastic models is a key challenge in many applications. Previous work has shown that the re…
Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities
Jeremiah Birrell, Luc Rey-Bellet
Information-theory based variational principles have proven effective at providing scalable uncertainty quantification (i.e. robustness) bounds for quantities of interest in the pr…
Transition from ergodic to explosive behavior in a family of stochastic differential equations
Jeremiah Birrell, David P. Herzog, Jan Wehr
We study a family of quadratic stochastic differential equations in the plane, motivated by applications to turbulent transport of heavy particles. Using Lyapunov functions, we fin…