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Mots-clés

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