Mots-clés

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