At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem
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Publication:2042840
DOI10.1214/21-EJP597zbMath1469.60161arXiv1807.05126OpenAlexW3157399758MaRDI QIDQ2042840
Publication date: 21 July 2021
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05126
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57)
Related Items (13)
Zero kinetic undercooling limit in the supercooled Stefan problem ⋮ A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps ⋮ McKean-Vlasov equations with positive feedback through elastic stopping times ⋮ Stefan problem with surface tension: global existence of physical solutions under radial symmetry ⋮ Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem ⋮ Propagation of minimality in the supercooled Stefan problem ⋮ A general conditional McKean-Vlasov stochastic differential equation ⋮ Contagious McKean-Vlasov systems with heterogeneous impact and exposure ⋮ McKean-Vlasov equations involving hitting times: blow-ups and global solvability ⋮ Uniqueness for contagious McKean–Vlasov systems in the weak feedback regime ⋮ Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems ⋮ Well-posedness and tamed schemes for McKean-Vlasov equations with common noise ⋮ Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary
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