Order preservation for path-distribution dependent SDEs

DOI10.3934/CPAA.2018100MaRDI QIDQ1660043zbMATH OpenOpenAlexWikidataFDO

Authors Xing Huang, Chang Liu, Feng-Yu Wang

Publication date 23 August 2018

Published in Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.08569

zbMATH Keywords

order preservationpath-distribution dependent SDEsWasserstein distance

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Sufficient and necessary conditions are presented for the order preservation of path-distribution dependent SDEs. Differently from the corresponding study of distribution independent SDEs, to investigate the necessity of order preservation for the present model we need to construct a family of probability spaces in terms of the ordered pair of initial distributions.

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Cites work

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Cited in

(10)

• On order-preservation and positive correlations for multidimensional diffusion processes
• Distribution dependent stochastic differential equations
• Order preservation and positive correlation for nonlinear Fokker-Planck equation
• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
• Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
• Least squares estimation for path-distribution dependent stochastic differential equations
• Exponential ergodicity for non-dissipative McKean-Vlasov SDEs
• scientific article; zbMATH DE number 646669 (Why is no real title available?)
• Comparison theorem for path dependent SDEs driven by \(G\)-Brownian motion
• Asymptotic Bismut formula for Lions derivative of McKean-Vlasov neutral stochastic differential equations with infinite memory

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