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Sur les grandes déviations en théorie de filtrage non linéaire

Abdelkarem Berkaoui, Boualem Djehiche, Youssef Ouknine (2001)

Studia Mathematica

Soit X ε la solution de l’équation différentielle stochastique suivante: X t ε = x + ∑ i = 1 r ∫ 0 t σ i ( X s ε ) d W s i + ε ∑ j = 1 l ∫ 0 t σ ̃ j ( X s ε ) d W ̃ s j + ∫ 0 t b ( X s ε ) d s , et considérons φ ε ϕ = ϕ ( X ε ) . L’objectif de cet article est d’établir le principe de grandes déviations pour la famille des lois induites par X ε : ε > 0 pour la norme höldérienne. Par conséquent, on montre le même résultat pour la famille des lois induites par φ ε ϕ : ε > 0 . Enfin, on donne une application de ces résultats au filtrage non linéaire.

Sur quelques algorithmes récursifs pour les probabilités numériques

Gilles Pagès (2001)

ESAIM: Probability and Statistics

The aim of this paper is to take an in-depth look at the long time behaviour of some continuous time markovian dynamical systems and at its numerical analysis. We first propose a short overview of the main ergodicity properties of time continuous homogeneous Markov processes (stability, positive recurrence). The basic tool is a Lyapunov function. Then, we investigate if these properties still hold for the time discretization of these processes, either with constant or decreasing step (ODE method...

Sur quelques algorithmes récursifs pour les probabilités numériques

Gilles Pagès (2010)

ESAIM: Probability and Statistics

The aim of this paper is to take an in-depth look at the long time behaviour of some continuous time Markovian dynamical systems and at its numerical analysis. We first propose a short overview of the main ergodicity properties of time continuous homogeneous Markov processes (stability, positive recurrence). The basic tool is a Lyapunov function. Then, we investigate if these properties still hold for the time discretization of these processes, either with constant or decreasing step (ODE...

Surface measures and convergence of the Ornstein-Uhlenbeck semigroup in Wiener spaces

Luigi Ambrosio, Alessio Figalli (2011)

Annales de la faculté des sciences de Toulouse Mathématiques

We study points of density 1 / 2 of sets of finite perimeter in infinite-dimensional Gaussian spaces and prove that, as in the finite-dimensional theory, the surface measure is concentrated on this class of points. Here density 1 / 2 is formulated in terms of the pointwise behaviour of the Ornstein-Uhlembeck semigroup.

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