Robust bounds and optimization at the large deviations scale for queueing models via Rényi divergence

JOURNAL ARTICLE published 1 June 2021 in The Annals of Applied Probability

Authors: Rami Atar | Amarjit Budhiraja | Paul Dupuis | Ruoyu Wu

Mimicking an Itô process by a solution of a stochastic differential equation

JOURNAL ARTICLE published 1 August 2013 in The Annals of Applied Probability

Authors: Gerard Brunick | Steven Shreve

Controlled stochastic networks in heavy traffic: Convergence of value functions

JOURNAL ARTICLE published 1 April 2012 in The Annals of Applied Probability

Authors: Amarjit Budhiraja | Arka P. Ghosh

Analysis of a spatially inhomogeneous stochastic partial differential equation epidemic model

JOURNAL ARTICLE published June 2020 in Journal of Applied Probability

Authors: Dang H. Nguyen | Nhu N. Nguyen | George Yin

Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process

JOURNAL ARTICLE published 1 April 2008 in The Annals of Applied Probability

Authors: Fabien Panloup

Minimal Blow-Up Solutions to the Mass-Critical Inhomogeneous NLS Equation

JOURNAL ARTICLE published 28 December 2010 in Communications in Partial Differential Equations

Authors: Valeria Banica | Rémi Carles | Thomas Duyckaerts

Diffusion approximations for controlled stochastic networks: An asymptotic bound for the value function

JOURNAL ARTICLE published 1 November 2006 in The Annals of Applied Probability

Authors: Amarjit Budhiraja | Arka Prasanna Ghosh

The Symbol Associated with the Solution of a Stochastic Differential Equation

JOURNAL ARTICLE published 1 January 2010 in Electronic Journal of Probability

Authors: Rene Schilling | Alexander Schnurr

On the multi-dimensional skew Brownian motion

JOURNAL ARTICLE published May 2015 in Stochastic Processes and their Applications

Research funded by Israel Science Foundation (1349/08) | National Science Foundation (DMS-1004418,DMS-1016441,DMS-1305120) | Army Research Office (W911NF-10-1-0158,W911NF-14-1-0331)

Authors: Rami Atar | Amarjit Budhiraja

Review: H. Kunita, Stochastic Flows and Stochastic Differential Equations

JOURNAL ARTICLE published 1 January 1993 in The Annals of Probability

Authors: T. E. Harris

Taylor expansions of solutions of stochastic partial differential equations with additive noise

JOURNAL ARTICLE published 1 March 2010 in The Annals of Probability

Authors: Arnulf Jentzen | Peter Kloeden

Backward stochastic differential equations with time delayed generators—results and counterexamples

JOURNAL ARTICLE published 1 August 2010 in The Annals of Applied Probability

Authors: Łukasz Delong | Peter Imkeller

Backward stochastic differential equations and partial differential equations with quadratic growth

JOURNAL ARTICLE published 1 April 2000 in The Annals of Probability

Authors: Magdalena Kobylanski

Some Topics in Stochastic Control

REPORT published 14 October 2010

Authors: Amarjit Budhiraja

A Laplace Principle for a Stochastic Wave Equation in Spatial Dimension Three

BOOK CHAPTER published 2011 in Stochastic Analysis 2010

Authors: Víctor Ortiz-López | Marta Sanz-Solé

Strong Differential Subordination and Stochastic Integration

JOURNAL ARTICLE published 1 April 1994 in The Annals of Probability

Authors: Donald L. Burkholder

Backward-Forward Stochastic Differential Equations

JOURNAL ARTICLE published 1 August 1993 in The Annals of Applied Probability

Authors: Fabio Antonelli

Anticipated backward stochastic differential equations

JOURNAL ARTICLE published 1 May 2009 in The Annals of Probability

Authors: Shige Peng | Zhe Yang

The Laplace Equation

BOOK CHAPTER published 2010 in Partial Differential Equations

Authors: Emmanuele DiBenedetto

Conservative stochastic Cahn–Hilliard equation with reflection

JOURNAL ARTICLE published 1 September 2007 in The Annals of Probability

Authors: Arnaud Debussche | Lorenzo Zambotti