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Mots-clés

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