The principal investigator will conduct research in three areas of the theory of stochastic processes. Two areas have to do with large deviation theory. The first concerns proving the fundamental large deviation principle for Markov stochastic processes with "discontinuous statistics", a class that includes diffusions with discontinuous drift and small diffusion coefficient as well as certain scaled queueing systems. The second area involves numerical and simulation methods. The third area of study is concerned with developing the theory and applications of the solution to the Skorokhod Problem, which is a basic and useful tool in the study of various "constrained" stochastic processes. The principal investigator will study several areas of the theory of stochastic (random) processes. One of the areas involves proving the fundamental large deviation principle for Markov stochastic processes with "discontinuous statistics". This class of stochastic processes is important in certain applications of stochastic control.

Agency
National Science Foundation (NSF)
Institute
Division of Mathematical Sciences (DMS)
Type
Standard Grant (Standard)
Application #
8902333
Program Officer
Peter Arzberger
Project Start
Project End
Budget Start
1989-06-01
Budget End
1991-11-30
Support Year
Fiscal Year
1989
Total Cost
$34,500
Indirect Cost
Name
University of Massachusetts Amherst
Department
Type
DUNS #
City
Amherst
State
MA
Country
United States
Zip Code
01003