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SUMMARY:How to constrain the statistics of a stochastic evolution?
DTSTART:20240503T140000Z
DTEND:20240503T150000Z
DTSTAMP:20240723T085400Z
UID:indico-event-11754@indico.math.cnrs.fr
DESCRIPTION:Speakers: Louis-Pierre Chaintron (DMA\, ENS Paris)\n\nStochast
ic diffusions are widely used to model physical phenomena\, the noise bein
g useful to account for average effects which need not being specified. Ho
wever\, the proposed model is always an approximation that cannot exactly
reproduce all the features of the real system (mean\, variance\, higher or
der moment...). From the law of large numbers\, such a feature can be seen
as an average of random realisations that one wants to bias to select the
desired behavior.This talk presents an approach based on the Gibbs condit
ioning principle to correct the statistics of a stochastic model. In the c
ase of diffusion processes\, an interesting PDE structure emerges from the
correction procedure which allows for connections with stochastic control
. Quantitative stability and regularity results are then proved when pertu
rbing the constraints\, showing the robustness of the correction procedure
. This work is a collaboration with Giovanni Conforti (CMAP\, Ecole Polyte
chnique) and Julien Reygner (Cermics\, ENPC).\n\nhttps://indico.math.cnrs.
fr/event/11754/
LOCATION:Salle 01 (Institut Henri PoincarĂ©)
URL:https://indico.math.cnrs.fr/event/11754/
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