Smoothing properties of McKean-Vlasov SDEs
Publication:1647925
DOI10.1007/s00440-017-0774-0zbMath1393.60074arXiv1702.01397WikidataQ59614723 ScholiaQ59614723MaRDI QIDQ1647925
Publication date: 27 June 2018
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.01397
Malliavin calculus; Wiener space; McKean-Vlasov stochastic differential equation; Kusuoka-Stroock functions; derivative with respect to measure; uniformly elliptic coefficients
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K55: Nonlinear parabolic equations
35K65: Degenerate parabolic equations
60H30: Applications of stochastic analysis (to PDEs, etc.)
34F05: Ordinary differential equations and systems with randomness
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Strong existence and uniqueness for degenerate SDE with Hölder drift
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Mean field games
- Applications of Malliavin's calculus to time-dependent systems of heat equations
- The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
- Smoothing properties of McKean-Vlasov SDEs
- Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
- The master equation in mean field theory
- On the interpretation of the master equation
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Hypoelliptic second order differential equations
- Cubature Methods and Applications
- Probabilistic Analysis of Mean-Field Games
- Some stochastic particle methods for nonlinear parabolic PDEs
- The Malliavin Calculus and Related Topics
- Nonlinear SDEs driven by L\'evy processes and related PDEs
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- A stochastic particle method for the McKean-Vlasov and the Burgers equation