A general conditional McKean-Vlasov stochastic differential equation

DOI10.1214/22-aap1858zbMath1525.60070arXiv2108.03425MaRDI QIDQ6104018

Juan Li, Rainer Buckdahn, Jin Ma

Publication date: 5 June 2023

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.03425

zbMATH Keywords

weak solutionconditional McKean-Vlasov SDEsKantorovich-Rubinstein's duality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Random measures (60G57) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (1)

Impulse control of conditional McKean-Vlasov jump diffusions

Cites Work

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• Stochastic nonlinear Fokker-Planck equations
• Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors

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