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Mots-clés

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