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Mots-clés

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