Mean-field stochastic differential equations and associated PDEs
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Publication:2412661
DOI10.1214/15-AOP1076zbMath1402.60070arXiv1407.1215OpenAlexW2963412531MaRDI QIDQ2412661
Shige Peng, Juan Li, Catherine Rainer, Rainer Buckdahn
Publication date: 24 October 2017
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.1215
value functionmean-field stochastic differential equationMcKean-Vlasov equationPDE of mean-field type
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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