mots-cles - Equipe Probabilités - IRMAR

 

Mots-clés

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