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Mots-clés

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