Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs

DOI10.1142/S0219025720500186zbMath1461.60051arXiv1805.10841OpenAlexW3107830189WikidataQ114072698 ScholiaQ114072698MaRDI QIDQ5150258

Fengyu Wang, Panpan Ren

Publication date: 10 February 2021

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.10841

zbMATH Keywords

additive functionalGirsanov transformationL-derivativeMcKean-Vlasov SDEs

Mathematics Subject Classification ID

Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (8)

Distribution dependent SDEs driven by fractional Brownian motions ⋮ Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ The Onsager-Machlup action functional for McKean-Vlasov stochastic differential equations ⋮ Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs ⋮ Bismut formula for Lions derivative of distribution dependent SDEs and applications ⋮ Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces ⋮ Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps

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• Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
• Mean-field stochastic differential equations and associated PDEs
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework

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