Séminaire Analyse-Probabilités

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Intervenant : GHOUSSOUB Nassif (University of British Columbia)
Titre :
Selfduality and the Kinetic Fokker--Planck Equation with Dirichlet Data

Le : 28/09/2026 de : 14h: à : 15h:
I use selfdual variational calculus to establish well-posedness of the Dirichlet problem for the kinetic Fokker--Planck equation with data on the incoming boundary. The selfdual approach — initiated by Brezis-Ekeland in 1976 and developed in my book in 2008 — was attempted earlier (and verified in dimension one) by Armstrong and Mourrat. With the assistance of my new friend Claude, who — among other things — led me to old papers of Kolmogoroff (1934) and McKean (1963), I will outline a proof of well-posedeness in higher dimensions.
Salle : A711

Séminaire Analyse-Probabilités

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Intervenant : COSTE Simon (LPSM DIDEROT)
Titre :
Importance Sampling

Le : 29/09/2026 de : 10:30 à : 11:30
Importance sampling is a technique for estimating integrals of the form E[φ(X)], where X has a density g that may be difficult to sample from or otherwise handle. The simplest Monte Carlo method would consist of generating i.i.d. samples X_1,...,X_n from g and averaging the values φ(X_i). By contrast, Importance Sampling (IS) consists of using samples Y_1,...,Y_n from another density, say f, and averaging the reweighted values φ(Y_i) * g(Y_i)/f(Y_i). This works provided that f is positive when g is positive, but there is no free lunch: the price to pay can be high variance and poor accuracy. In this expository talk, I will (1) explain when and how to use IS, with practical examples from chemistry and combinatorics; (2) explain how to measure the accuracy of IS and determine the sample size n needed for an accurate estimation of E[φ(X)], locally for a specific φ; and (3) explain how to measure this accuracy globally using Wasserstein distances.
Salle : A711

Séminaire Analyse-Probabilités

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Intervenant : BOUNEMARA Abed (CNRS - Université de Pau et des Pays de l'Adour)
Titre :


Le : 12/10/2026 de : 14h: à : 15h:

Salle : A711

Séminaire Analyse-Probabilités

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Intervenant : LAMMERS Piet (CNRS and Sorbonne Université)
Titre :


Le : 10/11/2026 de : 10:30 à : 11:30

Salle : A711

Séminaire Analyse-Probabilités

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Intervenant : MIRACI Ani (LJLL, Sorbonne Université)
Titre :


Le : 17/11/2026 de : 10:30 à : 11:30

Salle : A711

Séminaire Analyse-Probabilités

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Intervenant : DOLMAIRE Théophile (Université Paris Dauphine - PSL)
Titre :
TBA

Le : 15/12/2026 de : 10:30 à : 11:30

Salle : A711