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Mots-clés

Rare event Mesures invariantes Champs aléatoires Diffusion limit BSDE Adjoint process Approximation diffusion Random walk Importance sampling Diffusion-approximation Piecewise Deterministic Markov Process Champ moyen 2-Wasserstein distance Limit theorems Stochastic differential equation Invariant measure Second Wiener chaos Blow-up Malliavin calculus Burgers equation FOS Mathematics Markov process Ergodicité Kolmogorov equation EDP Equations aux dérivées partielles stochastiques Dual representation Exponential mixing Analysis of PDEs mathAP Existence and uniqueness Backward error analysis Coupling Interacting particle systems Asymptotic distributions Generalized random fields Kinetic equations Analyse stochastique White noise dispersion Comportement en temps long Stochastic processes Solitary waves Long-time behavior Feller processes Explosion times Quadratic growth Concentration inequalities Ergodic control Lévy process Kinetic equation Kac-Rice formula Backward stochastic differential equation Perturbed test functions Wasserstein distance Stochastic differential equations Cox processes Time-inconsistency Central limit theorem Small ball estimate Uniqueness Probability Fomin differentiability Invariant measures G-Brownian motion Propagation of chaos Processus de Markov Feynman-Kac formula Brownian motion Lévy processes Équations différentielles stochastiques Fractional Brownian motion Stochastic optimal control Asymptotic distribution Backward stochastic differential equations Processus de Lévy Probability mathPR Coupling method Stochastic linear-quadratic control Croissance quadratique Piecewise deterministic Markov process Particle filtering Kinetic formulation Multilevel splitting Convex optimization Differential equations Ergodicity White noise Rare event simulation Edgeworth expansion Forward-backward stochastic differential equation Stochastic partial differential equation Comparison theorem Point processes 60H10 Conservation laws Stochastic partial differential equations Particle filter Nonlinear Schrödinger equation Kinetic stochastic equation BMO martingale Probabilités