This special volume of the ESAIM Journal, Mathematical Modelling and Numerical Analysis,contains a collection of articles on probabilistic interpretations of some classes of nonlinear integro-differential equations.The selected contributions deal with a wide range of topics in applied probability theory and stochastic analysis, with applications in a variety of scientific disciplines, includingphysics, biology, fluid mechanics, molecular chemistry, financial mathematics and bayesian statistics. In this preface, we provide a brief presentation of the main contributions presented in this special volume. We have also included an introduction to classic probabilistic methods and a presentation of the more recent particle methods, with a synthetic picture of their mathematical foundations and their range of applications.

We study a free energy computation procedure, introduced in[Darve and Pohorille, J. Chem. Phys.115 (2001) 9169–9183; Hénin and Chipot, J. Chem. Phys.121 (2004) 2904–2914], which relies on the long-timebehavior of a nonlinear stochasticdifferential equation. This nonlinearity comes from a conditionalexpectation computed with respect to one coordinate of the solution. The long-time convergence of the solutions tothis equation has been provedin [Lelièvre et al., Nonlinearity21 (2008) 1155–1181], under some existence and regularity assumptions.In this paper, we prove existence and uniqueness under suitable conditions for the nonlinear equation, andwe study a particle approximation technique based on a Nadaraya-Watson estimator ofthe conditional expectation. The particle system converges to the solutionof the nonlinear equation if the number of particles goes to infinityand then the kernel used in the Nadaraya-Watson approximation tends to aDirac mass. We derive a rate for this convergence, and illustrate it by numericalexamples on a toy model.

We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium in Wasserstein distance with an explicit exponential rate. We also prove a propagation of chaos property for an associated particle system, and give rates on the approximation of the solution by the particle system. Finally, a transportation inequality for the distribution of the particle system leads to quantitative deviation bounds on the approximation of the equilibrium solution of the equation by an empirical mean of the particles at given time.

This work aims at introducing modelling, theoretical and numerical studies related to a new downscaling technique applied to computational fluid dynamics.Our method consists in building a local model, forced by large scale information computed thanks to a classical numerical weather predictor.The local model, compatible with the Navier-Stokes equations, is usedfor the small scale computation (downscaling) of the consideredfluid. It isinspired by Pope's works on turbulence, and consists in a so-called Langevin system of stochastic differential equations. We introduce this model and exhibit its links with classical RANS models. Well-posedness, as well as mean-field interacting particle approximations and boundary condition issues are addressed. We present the numerical discretization of the stochastic downscaling method and investigate the accuracy of the proposed algorithm on simplified situations.

To filter perturbed local measurements on a random medium, a dynamic model jointly with an observation transfer equation are needed. Some media given by PDE could have a local probabilistic representation by a Lagrangian stochastic process with mean-field interactions. In this case, we define the acquisition process of locally homogeneous medium along a random path by a Lagrangian Markov process conditioned to be in a domain following the path and conditioned to the observations. The nonlinear filtering for the mobile signal is therefore those of an acquisition process contaminated by random errors. This will provide a Feynman-Kac distribution flow for the conditional laws and an N particle approximation with a $\mathcal{O}$ $(\frac{1}{\sqrt{N}})$ asymptotic convergence. An application to nonlinear filtering for 3D atmospheric turbulent fluids will be described.

We design a particle interpretation of Feynman-Kac measures on path spacesbased on a backward Markovian representation combined with a traditionalmean field particle interpretation of the flow of their final timemarginals. In contrast to traditional genealogical tree based models, thesenew particle algorithms can be used to compute normalized additivefunctionals “on-the-fly” as well as theirlimiting occupation measures with a given precision degree that does notdepend on the final time horizon.We provide uniform convergence results w.r.t. the time horizon parameter aswell as functional central limit theorems and exponential concentrationestimates, yielding what seems to be the first results of this type for thisclass of models. We also illustrate these results in the context offiltering of hidden Markov models, as well as in computational physics andimaginary time Schroedinger type partial differential equations, with aspecial interest in the numerical approximation of the invariant measureassociated to h-processes.

This paper considers Schrödinger operators, and presents a probabilistic interpretation of the variation (or shape derivative) of the Dirichlet groundstate energy when the associated domain is perturbed. This interpretation relies on the distribution on the boundary of a stopped random process with Feynman-Kac weights. Practical computations require in addition the explicit approximation of the normal derivative of the groundstate on the boundary. We then propose to use this formulation in the case of the so-called fixed node approximation of Fermion groundstates, defined by the bottom eigenelements of the Schrödinger operator of a Fermionic system with Dirichlet conditions on the nodes (the set of zeros) of an initially guessed skew-symmetric function. We show that shape derivatives of the fixed node energy vanishes if and only if either (i) the distribution on the nodes of the stopped random process is symmetric; or (ii) the nodes are exactly the zeros of a skew-symmetric eigenfunction of the operator. We propose an approximation of the shape derivative of the fixed node energy that can be computed with a Monte-Carlo algorithm, which can be referred to as Nodal Monte-Carlo (NMC). The latter approximation of the shape derivative also vanishes if and only if either (i) or (ii) holds.

Motivated by the development of efficient Monte Carlo methodsfor PDE models in molecular dynamics,we establish a new probabilistic interpretation of a family of divergence formoperators with discontinuous coefficients at the interfaceof two open subsets of $\mathbb{R}^d$ . This family of operators includes the case of thelinearized Poisson-Boltzmann equation used tocompute the electrostatic free energy of a molecule.More precisely, we explicitly construct a Markov process whoseinfinitesimal generator belongs to this family, as the solution of a SDEincluding a non standard local time term related to the interfaceof discontinuity. We then prove an extendedFeynman-Kac formula for the Poisson-Boltzmann equation.This formula allows us to justifyvarious probabilistic numerical methods toapproximate the free energy of a molecule.We analyse the convergence rate of these simulation procedures andnumerically compare them on idealized molecules models.

The paper studies the convergence behavior ofMonte Carlo schemes for semiconductors.A detailed analysis of the systematic error with respect to numerical parameters is performed.Different sources of systematic error are pointed out andillustrated in a spatially one-dimensional test case.The error with respect to the number of simulation particlesoccurs during the calculation of the internal electric field.The time step error, which is related to the splitting of transport andelectric field calculations, vanishes sufficiently fast.The error due to the approximation of the trajectories ofparticles depends on the ODE solver used in the algorithm.It is negligible compared to the other sources of time steperror, when a second order Runge-Kutta solver is used. The error related to the approximate scattering mechanismis the most significant source of error with respect to the time step.

We present an efficient approach for reducing the statistical uncertaintyassociated with direct Monte Carlo simulations of the Boltzmann equation.As with previous variance-reduction approaches, the resulting relativestatistical uncertainty in hydrodynamic quantities (statistical uncertainty normalized by thecharacteristic value of quantity of interest) is smalland independent of the magnitude of the deviation from equilibrium,making the simulation of arbitrarily small deviations from equilibriumpossible. In contrast to previous variance-reduction methods, themethod presented here is able to substantially reduce variance withvery little modification to the standard DSMC algorithm. This is achievedby introducing an auxiliary equilibrium simulation which, via an importanceweight formulation, uses the same particle data as the non-equilibrium(DSMC) calculation; subtracting the equilibrium from the non-equilibriumhydrodynamic fields drastically reduces the statistical uncertaintyof the latter because the two fields are correlated. The resulting formulation is simple to code and provides considerable computational savings for a wide range of problems of practical interest. It is validated by comparing our results with DSMC solutions for steadyand unsteady, isothermal and non-isothermal problems; in all casesvery good agreement between the two methods is found.

This paper describes the extension of arecently developed numerical solver for the Landau-LifshitzNavier-Stokes (LLNS) equations to binary mixtures in threedimensions. The LLNS equations incorporate thermal fluctuations intomacroscopic hydrodynamics by using white-noise fluxes. Thesestochastic PDEs are more complicated in three dimensions due to thetensorial form of the correlations for the stochastic fluxes and inmixtures due to couplings of energy and concentration fluxes (e.g.,Soret effect). We present various numerical tests of systems in andout of equilibrium, including time-dependent systems, anddemonstrate good agreement with theoretical results and molecularsimulation.

With the pioneering work of [Pardoux and Peng, Syst. Contr. Lett.14 (1990) 55–61; Pardoux and Peng,Lecture Notes in Control and Information Sciences176 (1992) 200–217]. We have at our disposalstochastic processes which solve the so-called backward stochasticdifferential equations. These processes provide us with a Feynman-Kacrepresentation for the solutions of a class of nonlinear partial differential equations (PDEs) which appearin many applications in the field of Mathematical Finance. Therefore thereis a great interest among both practitioners and theoreticians to developreliable numerical methods for their numerical resolution. In this survey, we present a number of probabilistic methods forapproximating solutions of semilinear PDEs all based on the correspondingFeynman-Kac representation. We also include a general introduction tobackward stochastic differential equations and their connection with PDEsand provide a generic framework that accommodates existing probabilisticalgorithms and facilitates the construction of new ones.

This paper discusses analytical and numerical issues related toelliptic equations with random coefficients which are generallynonlinear functions of white noise. Singularity issues are avoidedby using the Itô-Skorohod calculus to interpret the interactionsbetween the coefficients and the solution. The solution is constructedby means of the Wiener Chaos (Cameron-Martin) expansions. Theexistence and uniqueness of the solutions are established underrather weak assumptions, the main of which requires only that theexpectation of the highest order (differential) operator is anon-degenerate elliptic operator. The deterministic coefficientsof the Wiener Chaos expansion of the solution solve a lower-triangularsystem of linear elliptic equations (the propagator). This structureof the propagator insures linear complexity of the related numericalalgorithms. Using the lower triangular structure and linearity of thepropagator, the rate of convergence is derived for a spectral/hp finiteelement approximation. The results of related numerical experiments arepresented.