Distribution-dependent SDEs with Hölder continuous drift and \(\alpha\)-stable noise

DOI10.1007/s11075-020-00913-wzbMath1459.65011arXiv1910.03299OpenAlexW3040816364MaRDI QIDQ2220751

Fen-fen Yang, Xing Huang

Publication date: 25 January 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.03299

zbMATH Keywords

\(\alpha\)-stable processEuler-Maruyama methodHölder continuousZvonkin-type transformationdistribution-dependent SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

The averaging method for doubly perturbed distribution dependent SDEs ⋮ Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts ⋮ Stochastic averaging principle for two-time-scale SPDEs driven by fractional Brownian motion with distribution dependent coefficients ⋮ Well-posedness and averaging principle of McKean-Vlasov SPDEs driven by cylindrical α-stable process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes
• Pathwise uniqueness for singular SDEs driven by stable processes
• On the rate of convergence in Wasserstein distance of the empirical measure
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Smoothing properties of McKean-Vlasov SDEs
• A mean-field stochastic control problem with partial observations
• Distribution dependent SDEs for Landau type equations
• Strong solutions of mean-field stochastic differential equations with irregular drift
• Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
• The Euler scheme with irregular coefficients
• Distribution dependent SDEs with singular coefficients
• A discretized version of Krylov's estimate and its applications
• Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift
• Gradient estimates and exponential ergodicity for mean-field SDEs with jumps
• Bismut formula for Lions derivative of distribution dependent SDEs and applications
• Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
• Mean-field stochastic differential equations and associated PDEs
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games
• On weak solutions of SDEs with singular time-dependent drift and driven by stable processes
• The Euler-Maruyama method for S(F)DEs with Hölder drift and α-stable noise
• Quantitative Harris-type theorems for diffusions and McKean–Vlasov processes
• New particle representations for ergodic McKean-Vlasov SDEs
• On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
• Weak solutions to Vlasov–McKean equations under Lyapunov-type conditions
• Probabilistic Theory of Mean Field Games with Applications I
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

This page was built for publication: Distribution-dependent SDEs with Hölder continuous drift and \(\alpha\)-stable noise