School of Technology and Computer Science Seminars
Minmax Representation of Viscosity Solutions to Hamilton-Jacobi Equations and Applications in Rare-event Simulation
by Dr. Henrik Hult (Royal Institute of Technology, Sweden)
Wednesday, February 11, 2015
from
to
(Asia/Kolkata)
at AG-80
at AG-80
Description |
In this talk a duality relation between the Mane's potential and Mather's action functional is derived in the context of convex and state-dependent Hamiltonians. The duality relation is used to obtain min-max representations of viscosity solutions of first order Hamilton-Jacobi equations. These min-max representations naturally suggest classes of subsolutions of Hamilton-Jacobi equations that arise in the theory of large deviations. The subsolutions, in turn, are good candidates for designing efficient rare-event simulation algorithms. I will show some applications to financial risk management and reliability of power systems. |