Particle representations for a class of nonlinear SPDEs
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Publication:1613628
DOI10.1016/S0304-4149(99)00024-1zbMATH Open0996.60071OpenAlexW1979038769MaRDI QIDQ1613628FDOQ1613628
Publication date: 29 August 2002
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00024-1
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- Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
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- A branching particle approximation to a filtering micromovement model of asset price
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- On the Hahn-Jordan decomposition for signed measure valued stochastic partial differential equations
- Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence
- Weak existence and uniqueness for McKean-Vlasov SDEs with common noise
- Particle representations for stochastic partial differential equations with boundary conditions
- Mean field interaction on random graphs with dynamically changing multi-color edges
- Probability measure-valued polynomial diffusions
- Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control
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- Approximate McKean–Vlasov representations for a class of SPDEs
- A QUASI-LINEAR STOCHASTIC FOKKER–PLANCK EQUATION IN σ-FINITE MEASURES
- A stochastic partial differential equation model for the pricing of mortgage-backed securities
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- A CLASS OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS(SDES) WITH JUMPS DERIVED BY PARTICLE REPRESENTATIONS
- Convergence rates for residual branching particle filters
- A stochastic log-Laplace equation.
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- Consensus convergence with stochastic effects
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- A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps
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- A branching particle system approximation for a class of FBSDEs
- MEASURE EVOLUTION FOR "STOCHASTIC FLOWS"
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
- An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
- Marginal dynamics of interacting diffusions on unimodular Galton-Watson trees
- Convergence of Weighted Empirical Measures
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- On the differential equation satisfied by the random measure density of a jump-type Fleming–Viot process
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