Paul Dupuis, Publications

(For access to many of these publications in pdf form, please visit Professor Dupuis' publications site ).

Papers in Journals:

1. Large deviations for infinite dimensional stochastic dynamical systems (with A. Budhiraja and V. Maroulas), to appear in Annals of Probability.

2. Splitting for rare event simulation: A large deviations approach to design and analysis (with T. Dean), to appear in SPA.

3. On the large deviations properties of the weighted-serve-the-longer-queue policy (with K.Leder and H. Wang) to appear in Progress in Probability, proceedings of the X Brazilian Summer School in Probability.

4. Large deviations and importance sampling for a tandem network with slow-down (with K. Leder and H. Wang), QUESTA, 57, (2007), 71-83.

5. Explicit solutions for a class of nonlinear PDE that arise in allocation problems, (with J. Zhang), to appear in SIAM J. on Mathematical Analysis.

6. Large deviation principle for general occupancy models (with J. Zhang), to appear in Combinatorics, Probability and Computing.

7. Importance sampling for sums of random variables with regularly varying tails (with K. Leder and H. Wang), ACM Trans. on Modelling and Computer Simulation, 17, (2007), 1-21.

8. Dynamic importance sampling for queueing networks (with D. Sezer and H. Wang), Annals of  Applied Probability, 17, (2007), 1306-1346.

9. Subsolutions of an Isaacs equation and efficient schemes for importance sampling (with H. Wang), Mathematics of Operations Research, 32, (2007), 1-35.

10. Large deviation principle for occupancy problems with colored balls (with Carl Nuzman and Phil Whiting), J. Appl. Probab., 44, (2007), 115-141.

11. Re.ned large deviation asymptotics for the classical occupancy problem (with J. Zhang and P. Whiting), Method. and Comp. in Applied Probab., 8, (2006), 467-496.

12. Dynamic importance sampling for uniformly recurrent Markov chains (with H.Wang), Annals of Applied Probability, 15, (2005), 1-38.

13. On the convergence from discrete to continuous time in an optimal stopping problem (with H. Wang), Annals of Applied Probability 15, (2005), 1339-1366.

14. Importance sampling, large deviations and differential games (with H. Wang), Stochastic and Stochastics Reports, 76, (2004), 481-508.

15. Explicit solutions for a network control problem in the large deviation regime (with Rami Atar and Adam Shwartz), QUESTA, 46, (2004), 159-176.

16. Large deviation asymptotics for occupancy problems (with Carl Nuzman and Phil Whiting), Annals of Probab., 32, (2004), 2765-2818.

17. An escape time criterion for queueing networks: Asymptotic risk-sensitive control via differential games (with Rami Atar and Adam Shwartz), Math. of OR., 28, (2003), 801.835.

18. Explicit solution to a robust queueing control problem, SIAM J. on Control and Opt., 23, (2003), 1854-1875.

19. Large deviations for the empirical measures of reflecting Brownian motion and related constrained processes in IR+ (with A. Budhiraja), Elec. J. of Probab., 8, (2003), 1-46.

20. Optimal stopping with random intervention times (with H. Wang), Adv. Applied Probability, 34, (2002), 1-17.

21. A time-reversed representation for the tail probabilities of stationary reflected Brownian motion (with K. Ramanan), Stoch. Proc. and Their Appl., 98, (2002), pp. 253-287.

22. Second order numerical methods for .first order Hamilton-Jacobi equations (with A. Szpiro), SIAM J. on Numerical Analysis, 40, (2002) pp. 1136-1183.

23. A differential game with constrained dynamics and viscosity solutions of a related HJB equation (with R. Atar), Nonlinear Analysis: Theory, Methods and Applications, 55, (2002) pp.1105-1130.

24. On positive recurrence of constrained diffusion processes (with R. Atar and A. Budhiraja), Ann. of Probab. 29 (2001), 979-1000.

25. Convergence of the optimal feedback policies in a numerical method for a class of deterministic optimal control problems (with A. Szpiro), SIAM J. on Control and Opt., 40 (2001) pp. 393-420.

26. Risk-sensitive and robust escape control for degenerate processes (with M. Boué), Math. of Control, Signals and Systems, 14 (2001) pp. 62-85.

27. An explicit formula for the solution of certain optimal control problems on domains with corners (with K. Ramanan) an invited paper in the special issue of Probab. Th. and Math.Stat. dedicated to A. Skorokhod 63, (2000), pp. 32-48.

28. A multiclass feedback queueing network with a regular Skorokhod Problem (with K. Ramanan), Queueing Systems, 36 (2000) pp. 327-349.

29. A variational representation for positive functionals of infinite dimensional Brownian motion (with A. Budhiraja), Prob. Math. Statist. 20 (2000) pp. 39-61.

30. Large deviations for small noise diffusions with discontinuous statistics (with M. Boué and R. S. Ellis), Prob. Theor. and Rel. Fields 116 (2000) pp. 125-148.

31. Robust properties of risk-sensitive control (with M. R. James and I. R. Petersen), Math. of Control, Signals and Systems. 13 (2000) pp. 318-332.

32. Minimax optimal control of stochastic uncertain systems with relative entropy constraints (with I. R. Petersen and M. R. James), IEEE Trans. on Auto. Control. 45 (2000) pp. 398-412.

33. Large deviations and queueing networks: methods for rate function identification (with R. Atar), Stoch. Proc. and Their Appl. 84 (1999) pp. 255-296.

34. Simple necessary and sufficient conditions for the stability of constrained processes (with A. Budhiraja), SIAM J. on Applied Math. 59 (1999), pp. 1686-1700.

35. Markov chain approximations for deterministic control problems with a¢ ne dynamics and quadratic cost in the control (with M. Boué), SIAM J. on Numerical Analysis 36 (1999), pp. 667-695.

36. Convex duality and the Skorokhod Problem, parts I and II (with K. Ramanan), Prob. Th.and Rel. Fields, 115 (1999), pp. 153.195 and 115 (1999), pp. 197-236.

37. A variational formulation of a problem in image matching (with U. Grenander and M. Miller), Quarterly of Applied Mathematics, 56 (1998), pp. 587-600.

38. A Skorokhod Problem formulation and large deviation analysis of a processor sharing model (with K. Ramanan), Queueing Systems, 28 (1998), pp. 109.124.

39. Large deviation properties of data streams that share a buffer (with K. Ramanan), The Annals of Applied Probability, 8, (1998), pp. 1070-1129.

40. A variational representation for certain functionals of Brownian motion (with M. Boué), Annals of Probability, 26 (1998), pp. 1641-1659.

41. Rates of convergence for approximations schemes in optimal control (with M. James), SIAM J. on Control and Opt. 36 (1998), pp. 719-741.

42. Risk sensitive and robust escape criteria (with W. McEneany), SIAM J. on Control and Opt.35 (1997), pp. 2021-2048.

43. A nonstandard form of the rate function for the occupation measure of a Markov chain (with O. Zeitouni), Stoch. Proc. and Their Appl., 61 (1996), pp. 249-261.

44. The large deviation principle for a general class of queueing systems, I (with R. S. Ellis), Transactions of the AMS 347 (1995), pp. 2689-2751.

45. A dynamical systems approach for network oligopolies and variational inequalities, (with A. Nagurney and D. Zhang), Annals of Regional Science 28 (1994), pp. 263-283.

46. Lyapunov functions for semimartingale reflecting Brownian motions, (with R. J. Williams), The Annals of Probability 22 (1994), pp. 680-702.

47. An optimal control formulation and related numerical methods for a problem in shape reconstruction, (with J. Oliensis), The Annals of Applied Probability 4 (1994), pp. 287-346.

48. Dynamical systems and variational inequalities, (with A. Nagurney), The Annals of Operations Research 44 (1993), pp. 9-42.

49. SDEs with oblique reflections on nonsmooth domains, (with H. Ishii), The Annals of Probability 21 (1993), pp. 554-580.

50. Large deviations for Markov processes with discontinuous statistics, II: random walks, (with R. S. Ellis), Probability Theory and Related Fields 91 (1992), pp. 153-194.

51. On sampling-controlled stochastic approximation, (with R. Simha), IEEE Trans. on Auto. Control 35 (1991), pp. 915-925.

52. Large deviations for Markov processes with discontinuous statistics, I: general upper bounds, (with R. S. Ellis and A. Weiss), The Annals of Probability 19 (1991), pp. 1280-1297.

53. On oblique derivative problems for fully nonlinear second-order elliptic PDE.s on domains with corners, (with H. Ishii), Hokkiado U. Math. J. 20 (1991), pp. 135-164.

54. On Lipschitz continuity of the solution mapping to the Skorokhod Problem, with applications, (with H. Ishii), Stochastics 35 (1991), pp. 31-62.

55. On oblique derivative problems for fully nonlinear second-order elliptic PDE.s on nonsmooth domains, (with H. Ishii), J. of Nonlinear Analysis: Theory, Methods and Applications 15 (1990), pp. 1123-1138.

56. A viscosity solution approach to the asymptotic analysis of queueing systems, (with H. Ishii and H. M. Soner), The Annals of Probability 18 (1990), pp. 226-255.

57. Minimizing exit probabilities; a large deviations approach (with H. J. Kushner), SIAM J. on Control and Optimization. 27 (1989), pp. 432-445.

58. Stochastic approximation and large deviations: upper bounds and w.p.1 convergence, (with H. J. Kushner), SIAM J. on Control and Optimization., 27 (1989), pp. 1108-1135.

59. Large deviations analysis of some recursive algorithms with state dependent noise, The Annals of Probability 16 (1988), pp. 1509-1536.

60. Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets, Stochastics 21 (1987), pp. 63-96.

61. Stochastic systems with small noise, analysis and simulation; a phase locked loop example (with H. J. Kushner), SIAM J. on Applied Math. 47 (1987), pp. 643-661.

62. Asymptotic theory of constrained stochastic approximations via the theory of large deviations (with H. J. Kushner), Probability Theory and Related Fields 75 (1987), pp. 223-244.

63. Large deviations estimates for systems with small noise effects, and applications to stochastic systems theory (with H. J. Kushner), SIAM J. on Control and Optimization 24 (1986), pp. 979-1008.

64. Stochastic approximation via large deviations: asymptotic properties (with H. J. Kushner), SIAM J. on Control and Optimization 23 (1985), pp. 675-696.

Books:

1. Numerical Methods for Stochastic Control Problems in Continuous Time (with H. J. Kushner), Second Revised Edition, Springer-Verlag, New York, 2001.

2. A Weak Convergence Approach to the Theory of Large Deviations (with R. S. Ellis), John Wiley & Sons, New York, 1997.