Particle representations for a class of nonlinear SPDEs

From MaRDI portal
Revision as of 03:05, 1 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:1613628

DOI10.1016/S0304-4149(99)00024-1zbMath0996.60071OpenAlexW1979038769MaRDI QIDQ1613628

Jie Xiong, Thomas G. Kurtz

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00024-1






Related Items (81)

Integration of Brownian vector fields.Consensus convergence with stochastic effectsA stochastic partial differential equation model for the pricing of mortgage-backed securitiesModerate deviation principles for weakly interacting particle systemsON THE HAHN–JORDAN DECOMPOSITION FOR SIGNED MEASURE VALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONSNonlinear filtering of partially observed systems arising in singular stochastic optimal controlSome fluctuation results for weakly interacting multi-type particle systemsA stochastic log-Laplace equation.Probability measure-valued polynomial diffusionsMacroscopic limits for stochastic partial differential equations of McKean-Vlasov typeCentralized systemic risk control in the interbank system: weak formulation and gamma-convergenceConvergence of Weighted Empirical MeasuresParticle representations for stochastic partial differential equations with boundary conditionsPathwise McKean-Vlasov theory with additive noiseA Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumpsExact rates of convergence for a branching particle approximation to the solution of the Zakai equationMarginal dynamics of interacting diffusions on unimodular Galton-Watson treesAn extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrixConditional distributions, exchangeable particle systems, and stochastic partial differential equationsStochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal ControlStochastic maximum principle for weighted mean-field systemLooking forwards and backwards: dynamics and genealogies of locally regulated populationsLarge population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controlsSuperposition and mimicking theorems for conditional McKean-Vlasov equationsStochastic differential equations with local interactionsRough McKean-Vlasov dynamics for robust ensemble Kalman filteringWell-posedness of the Dean-Kawasaki and the nonlinear Dawson-Watanabe equation with correlated noiseOn signed measure valued solutions of stochastic evolution equationsStochastic Evolution Equations for Large Portfolios of Stochastic Volatility ModelsCONDITIONAL ENTRANCE LAWS FOR SUPERPROCESSES WITH DEPENDENT SPATIAL MOTIONMEASURE EVOLUTION FOR "STOCHASTIC FLOWS"Super-Brownian motion as the unique strong solution to an SPDEPorous media equations with nonlinear gradient noise and Dirichlet boundary conditionsConvergence in Monge-Wasserstein distance of mean field systems with locally Lipschitz coefficientsA branching particle approximation to a filtering micromovement model of asset priceOn mean field games with common noise and McKean-Vlasov SPDEsItô and Stratonovich stochastic partial differential equations: Transition from microscopic to macroscopic equationsRectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systemsMaster equation for finite state mean field games with additive common noiseA QUASI-LINEAR STOCHASTIC FOKKER–PLANCK EQUATION IN σ-FINITE MEASURESMean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivativeRough nonlocal diffusionsMean field interaction on random graphs with dynamically changing multi-color edgesAn SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-lineControlled stochastic partial differential equations for rabbits on a grasslandConvergence rates for residual branching particle filtersWeakly interacting particle systems on inhomogeneous random graphsPoisson representations of branching Markov and measure-valued branching processesDynamic Programming for Optimal Control of Stochastic McKean--Vlasov DynamicsStability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDEApproximate McKean–Vlasov representations for a class of SPDEsJoint continuity of the solutions to a class of nonlinear SPDEsStochastic nonlinear Fokker-Planck equationsOn mean field systems with multi-classesStochastic PDEs for large portfolios with general mean-reverting volatility processesDecomposing the growth of top wealth sharesA branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principleWeak existence and uniqueness for McKean-Vlasov SDEs with common noiseLarge deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noiseOn laws of large numbers for systems with mean-field interactions and Markovian switchingStochastic PDEs on graphs as scaling limits of discrete interacting systemsModerate deviation principle for a class of stochastic partial differential equationsAn explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficientsOn partially observed jump diffusions. II: The filtering densityExistence of probability measure valued jump-diffusions in generalized Wasserstein spacesNumerical study of the reaction diffusion prey-predator model having Holling II increasing function in the predator under noisy environmentOn the anticipative nonlinear filtering problem and its stabilityA branching particle system approximation for a class of FBSDEsHegselmann-Krause model with environmental noiseCoupling by change of measure for conditional McKean-Vlasov SDEs and applicationsSharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficientsFractional McKean-Vlasov and Hamilton-Jacobi-Bellman-Isaacs equationsMean field limits for interacting Hawkes processes in a diffusive regimeInfinite-dimensional regularization of McKean-Vlasov equation with a Wasserstein diffusionRegularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like ProcessesConditional log-Laplace functionals of immigration superprocesses with dependent spatial mo\-tionConditional propagation of chaos in a spatial stochastic epidemic model with common noiseOn the differential equation satisfied by the random measure density of a jump-type Fleming–Viot processAsymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noiseNumerical solution for a class of SPDEs over bounded domainsEmpirical measure and small noise asymptotics under large deviation scaling for interacting diffusions




Cites Work




This page was built for publication: Particle representations for a class of nonlinear SPDEs