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Mots-clés

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