## Section: Scientific Foundations

### Scientific Foundations

Most often physicists, economists, biologists, engineers need a stochastic model because they cannot describe the physical, economical, biological, etc., experiment under consideration with deterministic systems, either because of its complexity and/or its dimension or because precise measurements are impossible. Then they renounce to get the description of the state of the system at future times given its initial conditions and, try instead to get a statistical description of the evolution of the system. For example, they desire to compute occurrence probabilities for critical events such as overstepping of given thresholds by financial losses or neuronal electrical potentials, or to compute the mean value of the time of occurrence of interesting events such as the fragmentation up to a very low size of a large proportion of a given population of particles. By nature such problems lead to complex modelling issues: one has to choose appropriate stochastic models, which requires a thorough knowledge of their qualitative properties, and then one has to calibrate them, which requires specific statistical methods to face the lack of data or the inaccuracy of these data. In addition, having chosen a family of models and computed the desired statistics, one has to evaluate the sensitivity of the results to the unavoidable model specifications. The Tosca team, in collaboration with specialists of the relevant fields, develops theoretical studies of stochastic models, calibration procedures, and sensitivity analysis methods.

In view of the complexity of the experiments, and thus of the stochastic models, one cannot expect to use closed form solutions of simple equations in order to compute the desired statistics. Often one even has no other representation than the probabilistic definition (e.g., this is the case when one is interested in the quantiles of the probability law of the possible losses of financial portfolios). Consequently the practitioners need Monte Carlo methods combined with simulations of stochastic models. As the models cannot be simulated exactly, they also need approximation methods which can be efficiently used on computers. The Tosca team develops mathematical studies and numerical experiments in order to determine the global accuracy and the global efficiency of such algorithms.

The simulation of stochastic processes is not motivated by stochastic models only. The stochastic differential calculus allows one to represent solutions of certain deterministic partial differential equations in terms of probability distributions of functionals of appropriate stochastic processes. For example, elliptic and parabolic linear equations are related to classical stochastic differential equations, whereas nonlinear equations such as the Burgers and the Navier–Stokes equations are related to McKean stochastic differential equations describing the asymptotic behavior of stochastic particle systems. In view of such probabilistic representations one can get numerical approximations by using discretization methods of the stochastic differential systems under consideration. These methods may be more efficient than deterministic methods when the space dimension of the PDE is large or when the viscosity is small. The Tosca team develops new probabilistic representations in order to propose probabilistic numerical methods for equations such as conservation law equations, kinetic equations, nonlinear Fokker–Planck equations.