Nonlinear diffusions and stable-like processes with coefficients depending on the median or var

DOI10.1007/S00245-013-9199-ZzbMath1273.49031arXiv1207.5925OpenAlexW2121420989MaRDI QIDQ373002

Vassili N. Kolokol'tsov

Publication date: 21 October 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.5925

zbMATH Keywords

medianquantilevalue at risknonlinear Markov processesMcKean-Vlasov diffusionstable-like processestempered stable processes

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

On a strong form of propagation of chaos for McKean-Vlasov equations ⋮ Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients ⋮ On mean field games with common noise and McKean-Vlasov SPDEs

Cites Work

• Unnamed Item
• Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
• A maximum principle for SDEs of mean-field type
• Large deviation properties of weakly interacting processes via weak convergence methods
• Systems of equations driven by stable processes
• Nonlinear Markov semigroups and interacting Lévy type processes
• Discrete time, finite state space mean field games
• Semiclassical analysis for diffusions and stochastic processes
• Markov processes, semigroups and generators.
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Two-sided estimates of fundamental solutions of second-order parabolic equations, and some applications
• Symmetric Stable Laws and Stable-Like Jump-Diffusions
• Estimates for Fundamental Solutions of Second-Order Parabolic Equations
• Mean Field for Markov Decision Processes: From Discrete to Continuous Optimization

This page was built for publication: Nonlinear diffusions and stable-like processes with coefficients depending on the median or var