Nonlinear martingale problems involving singular integrals (Q1874458)

From MaRDI portal





scientific article; zbMATH DE number 1915627
Language Label Description Also known as
default for all languages
No label defined
    English
    Nonlinear martingale problems involving singular integrals
    scientific article; zbMATH DE number 1915627

      Statements

      Nonlinear martingale problems involving singular integrals (English)
      0 references
      25 May 2003
      0 references
      McKean-Vlasov equations model the asymptotic behavior of empirical measures of systems of particles with mean-field interaction. In this work the electrostatic interaction leads to a Hilbert transform term in the nonlinear evolution equation. Existence and uniqueness of regular solutions are proved by means of Sobolev spaces techniques. Then, existence and uniqueness of the associated nonlinear martingale problem are investigated. Its solution can be obtained as the chaotic limit of some systems of particles through regular approximation kernels.
      0 references
      McKean-Vlasov equation
      0 references
      singular integrals
      0 references
      nonlinear martingale problem
      0 references
      Monte-Carlo approximation
      0 references
      0 references

      Identifiers