Probabilistic Representation for Solutions to Nonlinear Fokker--Planck Equations

DOI10.1137/17M1162780zbMath1407.60091arXiv1801.10510OpenAlexW2963864571WikidataQ129427424 ScholiaQ129427424MaRDI QIDQ3177739

Viorel Barbu, Michael Roeckner

Publication date: 2 August 2018

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.10510

zbMATH Keywords

Fokker-Planck equationprobability densityentropic solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes and stochastic analysis on manifolds (58J65) Initial value problems for second-order parabolic equations (35K15) Martingales and classical analysis (60G46) Quasilinear parabolic equations (35K59)

Related Items (38)

Linearization of nonlinear Fokker-Planck equations and applications ⋮ Distribution-dependent stochastic porous media equations ⋮ Regularity for distribution-dependent SDEs driven by jump processes ⋮ Optimal control of stochastic differential equations via Fokker-Planck equations ⋮ Flow selections for (nonlinear) Fokker-Planck-Kolmogorov equations ⋮ Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients ⋮ Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs ⋮ A restricted superposition principle for (non-)linear Fokker-Planck-Kolmogorov equations on Hilbert spaces ⋮ The evolution to equilibrium of solutions to nonlinear Fokker-Planck equation ⋮ Well-posedness of density dependent SDE driven by \(\alpha \)-stable process with Hölder drifts ⋮ Linearization and a superposition principle for deterministic and stochastic nonlinear Fokker-Planck-Kolmogorov equations ⋮ Distribution dependent reflecting stochastic differential equations ⋮ Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality ⋮ Strong solutions to McKean-Vlasov SDEs with coefficients of Nemytskii-type ⋮ Superposition and mimicking theorems for conditional McKean-Vlasov equations ⋮ Exponential ergodicity and propagation of chaos for path-distribution dependent stochastic Hamiltonian system ⋮ McKean SDEs with singular coefficients ⋮ Strong and weak convergence for the averaging principle of DDSDE with singular drift ⋮ Singular density dependent stochastic differential equations ⋮ Entropy solutions for stochastic porous media equations ⋮ Superposition principle for non-local Fokker-Planck-Kolmogorov operators ⋮ Euler scheme for density dependent stochastic differential equations ⋮ Solutions for nonlinear Fokker-Planck equations with measures as initial data and Mckean-Vlasov equations ⋮ Existence and uniqueness of solution to the two-phase Stefan problem with convection ⋮ Large deviation principle for McKean-Vlasov quasilinear stochastic evolution equations ⋮ Density functions of distribution dependent SDEs driven by Lévy noises ⋮ Well-posedness and regularity for distribution dependent SPDEs with singular drifts ⋮ McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance ⋮ On the Ambrosio-Figalli-Trevisan superposition principle for probability solutions to Fokker-Planck-Kolmogorov equations ⋮ On convergence to stationary distributions for solutions of nonlinear Fokker-Planck-Kolmogorov equations ⋮ Well-posedness of distribution dependent SDEs with singular drifts ⋮ Distribution dependent stochastic differential equations ⋮ Uniqueness for nonlinear Fokker-Planck equations and weak uniqueness for McKean-Vlasov SDEs ⋮ From nonlinear Fokker-Planck equations to solutions of distribution dependent SDE ⋮ Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions ⋮ Degenerate nonlinear parabolic equations with discontinuous diffusion coefficients ⋮ The Trotter product formula for nonlinear Fokker-Planck flows ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

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