McKean-Vlasov SDEs under measure dependent Lyapunov conditions
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Publication:2041835
DOI10.1214/20-AIHP1106zbMath1489.60099arXiv1802.03974OpenAlexW3162869278MaRDI QIDQ2041835
Lukasz Szpruch, David Šiška, William R. P. Hammersley
Publication date: 23 July 2021
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.03974
Related Items (35)
Distribution dependent SDEs driven by additive continuous noise ⋮ Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion ⋮ Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems ⋮ Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients ⋮ Existence of invariant probability measures for functional McKean-Vlasov SDEs ⋮ Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations ⋮ Weak quantitative propagation of chaos via differential calculus on the space of measures ⋮ Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space ⋮ Rate of homogenization for fully-coupled McKean–Vlasov SDEs ⋮ Exponential ergodicity for singular reflecting McKean-Vlasov SDEs ⋮ Large and moderate deviation principles for McKean-Vlasov SDEs with jumps ⋮ Empirical approximation to invariant measures for McKean-Vlasov processes: mean-field interaction vs self-interaction ⋮ The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations ⋮ Derivative formula for singular McKean-Vlasov SDEs ⋮ Strong and weak convergence for the averaging principle of DDSDE with singular drift ⋮ One-dimensional McKean-Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients ⋮ Exponential ergodicity for non-dissipative McKean-Vlasov SDEs ⋮ Long-time behaviors of mean-field interacting particle systems related to McKean-Vlasov equations ⋮ On explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations with super-linear drift coefficient ⋮ From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs ⋮ On Pathwise Uniqueness of Solutions for Multidimensional McKean--Vlasov Equation ⋮ Stability of McKean–Vlasov stochastic differential equations and applications ⋮ Weak solutions to Vlasov–McKean equations under Lyapunov-type conditions ⋮ Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs ⋮ Bismut formula for Lions derivative of distribution dependent SDEs and applications ⋮ Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise ⋮ Tamed Euler-Maruyama approximation of McKean-Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients ⋮ Well-posedness and tamed schemes for McKean-Vlasov equations with common noise ⋮ Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift ⋮ Distribution-dependent stochastic differential delay equations in finite and infinite dimensions
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