Stability of McKean–Vlasov stochastic differential equations and applications

DOI10.1142/S0219493720500070zbMath1465.60047arXiv1902.03478OpenAlexW2962735323MaRDI QIDQ4959708

Brahim Mezerdi, Khaled Bahlali, Mohamed Amine Mezerdi

Publication date: 7 April 2020

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.03478

zbMATH Keywords

stabilityexistenceWasserstein metricmartingale measurerelaxed controlmean-field controlMckean-Vlasov stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (9)

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 ⋮ The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition ⋮ Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations ⋮ On Pathwise Uniqueness of Solutions for Multidimensional McKean--Vlasov Equation ⋮ Stability and prevalence of Mckean-Vlasov stochastic differential equations with non-Lipschitz coefficients ⋮ Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon ⋮ On the convergence of carathéodory numerical scheme for Mckean-Vlasov equations ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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