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Mots-clés

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