McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets
From MaRDI portal
Publication:1185785
DOI10.1016/0304-4149(92)90138-GzbMath0749.60096OpenAlexW1991439974MaRDI QIDQ1185785
Publication date: 28 June 1992
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(92)90138-g
Poisson point processpropagation of chaosfixed-point methodMcKean measurenonlinear martingale problems
Interacting random processes; statistical mechanics type models; percolation theory (60K35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic analysis (60H99)
Related Items (52)
Particle representations for a class of nonlinear SPDEs ⋮ Regularity and stability for the semigroup of jump diffusions with state-dependent intensity ⋮ Household epidemic models and McKean-Vlasov Poisson driven stochastic differential equations ⋮ Chaos hypothesis for a system interacting through shared resources ⋮ Fractional measure-dependent nonlinear second-order stochastic evolution equations with Poisson jumps ⋮ Stochastic McKean-Vlasov equations ⋮ Well-posedness and propagation of chaos for McKean-Vlasov equations with jumps and locally Lipschitz coefficients ⋮ Stochastic particle approximations for generalized Boltzmann models and convergence estimates ⋮ White-noise driven conditional McKean-Vlasov limits for systems of particles with simultaneous and random jumps ⋮ Particle representations for stochastic partial differential equations with boundary conditions ⋮ A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps ⋮ Oscillatory behavior in a model of non-Markovian mean field interacting spins ⋮ A Curie-Weiss model with dissipation ⋮ A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon ⋮ Convergence of multi-class systems of fixed possibly infinite sizes ⋮ \(H_\infty\) control for stochastic systems with Poisson jumps ⋮ Consensus-based optimization via jump-diffusion stochastic differential equations ⋮ McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion ⋮ Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation ⋮ Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching ⋮ Conditional McKean-Vlasov SDEs with jumps and Markovian regime-switching: wellposedness, propagation of chaos, averaging principle ⋮ Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity ⋮ The \(H_{\infty}\) control for bilinear systems with Poisson jumps ⋮ Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model ⋮ McKean–Vlasov limit for interacting systems with simultaneous jumps ⋮ A hierarchical mean field model of interacting spins ⋮ Mean field interaction on random graphs with dynamically changing multi-color edges ⋮ A second order analysis of McKean-Vlasov semigroups ⋮ Directed chain stochastic differential equations ⋮ A nonhomogeneous mean-field linear-quadratic optimal control problem and application ⋮ Delay-induced periodic behaviour in competitive populations ⋮ An exactly solvable continuous-time Derrida-Retaux model ⋮ Probabilistic approach to finite state mean field games ⋮ The Output Feedback <scp>H</scp>∞ Control Design for the Linear Stochastic System Driven by Both Brownian Motion and <scp>P</scp>oisson Jumps: A Nonlinear Matrix Inequality Approach ⋮ A class of second-order McKean-Vlasov stochastic evolution equations driven by fractional Brownian motion and Poisson jumps ⋮ Convergence, fluctuations and large deviations for finite state mean field games via the master equation ⋮ \(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps ⋮ Stability and prevalence of Mckean-Vlasov stochastic differential equations with non-Lipschitz coefficients ⋮ Opinion dynamics with Lotka-Volterra type interactions ⋮ Stability of McKean–Vlasov stochastic differential equations and applications ⋮ Dynamic contagion in a banking system with births and defaults ⋮ Conditional propagation of chaos for mean field systems of interacting neurons ⋮ Gradient estimates and exponential ergodicity for mean-field SDEs with jumps ⋮ H∞Control for Continuous-Time Mean-Field Stochastic Systems ⋮ A variational approach to nonlinear and interacting diffusions ⋮ Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise ⋮ Information upper bound for McKean–Vlasov stochastic differential equations ⋮ Chaoticity for Multiclass Systems and Exchangeability Within Classes ⋮ Interacting multi-class transmissions in large stochastic networks ⋮ Propagation of chaos: a review of models, methods and applications. I: Models and methods ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
- Nonlinear limit for a system of diffusing particles which alternate between two states
- Semimartingales: A course on stochastic processes
- Nonlinear diffusion with jumps
- The Boltzmann equation and its applications
- Probability Metrics
- [https://portal.mardi4nfdi.de/wiki/Publication:3347061 �quations de type de Boltzmann, spatialement homog�nes]
- Weak convergence of sequences of semimartingales with applications to multitype branching processes
- [https://portal.mardi4nfdi.de/wiki/Publication:4131394 Repr�sentation des processus ponctuels multivari�s � l'aide d'un processus de Poisson]
- Probabilistic treatment of the Boltzmann equation of Maxwellian molecules
This page was built for publication: McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets
