The density evolution of the killed McKean–Vlasov process
DOI10.1080/17442508.2019.1650041zbMath1490.60143arXiv1812.10934OpenAlexW2966674208WikidataQ127397851 ScholiaQ127397851MaRDI QIDQ5086500
Peter E. Caines, Daniel W. C. Ho, Qingshuo Song
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.10934
McKean-Vlasov stochastic differential equationsabsorbing boundaryCauchy-Dirichlet dataintegro-differential Fokker-Planck equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Fokker-Planck equations (35Q84)
Related Items (1)
Cites Work
- The law of large numbers for self-exciting correlated defaults
- Mean field games
- Elliptic partial differential equations of second order
- \(N\)-player games and mean-field games with absorption
- A class of hybrid LQG mean field games with state-invariant switching and stopping strategies
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Controlled Markov processes and viscosity solutions
- Long time average of first order mean field games and weak KAM theory
- Regularity Theory for Mean-Field Game Systems
- Nonlinear Filtering Theory for McKean--Vlasov Type Stochastic Differential Equations
- User’s guide to viscosity solutions of second order partial differential equations
- Stochastic Processes and Applications
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
- Mean Field Games and Mean Field Type Control Theory
- Probabilistic Theory of Mean Field Games with Applications I
- Stochastic Processes
- Unnamed Item
- Unnamed Item
This page was built for publication: The density evolution of the killed McKean–Vlasov process
