06.11.2024, 14:00 - 16:00
– Campus Golm, Building 9, Room 2.22 and via Zoom
Institutskolloquium
Graphon Models for Inhomogeneous Random Graphs
Olga Klopp (Paris), Nicolas Verzelen (Montpellier)
Han Cheng Lie (University of Potsdam)
The estimation of statistics of functionals of a diffusion process is a problem that arises in multiple applications. An example of such a problem involves estimating the expected value of the first exit time of a diffusion process from a bounded domain. One approach to estimating such statistics involves importance sampling via a change of measure, where the optimal change of measure is unique and yields a zero-variance estimator. Finding the optimal change of measure can be formulated as a stochastic optimal control problem, which can be solved computationally using gradient descent-based methods. We analyse a class of stochastic optimal control problems with the aim of understanding the convergence of gradient descent-based methods.
The Zoom access data are available on the programm of the Research Seminar.