Internet publication
Grid-free computation of probabilistic safety with Malliavin Calculus
- Abstract:
- This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probabilistic safety regions, namely sets of initial conditions of the SDE associated to trajectories that are safe with a probability larger than a given threshold. The approach introduces a functional that is minimised at the border of the probabilistic safety region, then solves an optimisation problem using techniques from Malliavin Calculus, which computes such region. Unlike existing results in the literature, the new approach allows one to compute probabilistic safety regions without gridding the state space of the SDE.
- Publication status:
- Published
- Peer review status:
- Not peer reviewed
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- Files:
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(Preview, Pre-print, pdf, 4.1MB, Terms of use)
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- Publisher copy:
- 10.48550/arXiv.2104.14691
- Publication website:
- https://arxiv.org/abs/2104.14691v2
Authors
- Publication date:
- 2021-04-29
- DOI:
- Language:
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English
- Pubs id:
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1174293
- Local pid:
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pubs:1174293
- Deposit date:
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2023-01-13
Terms of use
- Copyright holder:
- Cosentino et al.
- Copyright date:
- 2021
- Notes:
- The final, peer reviewed version of this paper is available in ORA at https://ora.ox.ac.uk/objects/uuid:0bc3adbf-3e79-43ea-803e-3ca53a4aba93
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