Nonlinear martingale problems involving singular integrals (Q1874458): Difference between revisions
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English | Nonlinear martingale problems involving singular integrals |
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Nonlinear martingale problems involving singular integrals (English)
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25 May 2003
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McKean-Vlasov equations model the asymptotic behavior of empirical measures of systems of particles with mean-field interaction. In this work the electrostatic interaction leads to a Hilbert transform term in the nonlinear evolution equation. Existence and uniqueness of regular solutions are proved by means of Sobolev spaces techniques. Then, existence and uniqueness of the associated nonlinear martingale problem are investigated. Its solution can be obtained as the chaotic limit of some systems of particles through regular approximation kernels.
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McKean-Vlasov equation
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singular integrals
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nonlinear martingale problem
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Monte-Carlo approximation
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