At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem

DOI10.1214/21-EJP597zbMATH Open1469.60161arXiv1807.05126OpenAlexW3157399758MaRDI QIDQ2042840FDOQ2042840

Authors: Sean Ledger, Andreas Søjmark 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We extend a model of positive feedback and contagion in large mean-field systems, by introducing a common source of noise driven by Brownian motion. Although the driving dynamics are continuous, the positive feedback effect can lead to `blow-up' phenomena whereby solutions develop jump-discontinuities. Our main results are twofold and concern the conditional McKean--Vlasov formulation of the model. First and foremost, we show that there are global solutions to this McKean--Vlasov problem, which can be realised as limit points of a motivating particle system with common noise. Furthermore, we derive results on the occurrence of blow-ups, thereby showing how these events can be triggered or prevented by the pathwise realisations of the common noise.

Full work available at URL: https://arxiv.org/abs/1807.05126

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zbMATH Keywords

weak convergencecontagioncommon noiseblow-upsparticle systemMcKean-Vlasov problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (13)

• Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• Zero kinetic undercooling limit in the supercooled Stefan problem
• A general conditional McKean-Vlasov stochastic differential equation
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• Stefan problem with surface tension: global existence of physical solutions under radial symmetry
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• A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps
• Well-posedness and tamed schemes for McKean-Vlasov equations with common noise
• McKean-Vlasov equations involving hitting times: blow-ups and global solvability

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