Clark representation formula for the solution to equation with interaction

MaRDI QIDQ5018644zbMATH OpenFDO

Authors Jasmina Djordjević, A. A. Dorogovtsev

Publication date 21 December 2021

Full work available at URL https://arxiv.org/abs/2103.04879, http://tsp.imath.kiev.ua/files/2520/art2520_02.pdf

zbMATH Keywords

Clark representationClark-Ocone formulastochastic differential equations with interaction

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10)

Abstract: In this paper Clark-Ocone representation for solution to measure-valued equation with interaction is studied. It is proven that the integrand is absolutely continuous with respect to Lebesgue measure.

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Cited in

(2)

• Large deviations of conservative stochastic partial differential equations
• Conservative SPDEs as fluctuating mean field limits of stochastic gradient descent

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