Stochastic nonlinear Fokker-Planck equations

DOI10.1016/J.NA.2019.05.003zbMATH Open1423.35471arXiv1904.07894OpenAlexW2936783438MaRDI QIDQ2274375FDOQ2274375

Authors: Michele Coghi, Benjamn Gess 

Publication date: 19 September 2019

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Abstract: The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with common noise. The uniqueness of solutions is obtained without any higher moment assumption on the solution by means of a duality argument to a backward stochastic PDE.

Full work available at URL: https://arxiv.org/abs/1904.07894

Recommendations

• Uniqueness for nonlinear Fokker-Planck equations and weak uniqueness for McKean-Vlasov SDEs
• Existence and uniqueness of solutions for Fokker-Planck equations on Hilbert spaces
• Solutions for nonlinear Fokker-Planck equations with measures as initial data and Mckean-Vlasov equations
• Weak uniqueness of Fokker-Planck equations with degenerate and bounded coefficients
• Nonlinear Fokker-Planck-Kolmogorov equations in Hilbert spaces

zbMATH Keywords

McKean-Vlasov equationsparticle representationsstochastic Fokker-Planck equations

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

• Measure theory. Vol. I and II
• Mean field games
• A duality analysis on stochastic partial differential equations
• On semi-linear degenerate backward stochastic partial differential equations
• \(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
• Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)
• Title not available (Why is that?)
• Elliptic and parabolic equations for measures
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• Mean field games. I: The stationary case
• Mean field games. II: Finite horizon and optimal control
• Title not available (Why is that?)
• Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
• Particle representations for a class of nonlinear SPDEs
• Propagation of chaos for interacting particles subject to environmental noise
• Stochastic scalar conservation laws driven by rough paths
• Scalar conservation laws with rough (stochastic) fluxes
• Scalar conservation laws with rough (stochastic) fluxes: the spatially dependent case
• Large deviation principle for a stochastic Navier-Stokes equation in its vorticity form for a two-dimensional incompressible flow
• Scalar conservation laws with multiple rough fluxes
• Introduction to stochastic integration
• Uniqueness problems for degenerate Fokker-Planck-Kolmogorov equations
• On uniqueness of solutions to nonlinear Fokker-Planck-Kolmogorov equations
• Title not available (Why is that?)
• Nonlinear parabolic equations for measures
• Parabolic equations for measures on infinite-dimensional spaces
• Stochastic partial differential equations: an introduction
• Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
• Stochastic McKean-Vlasov equations
• On the Hahn-Jordan decomposition for signed measure valued stochastic partial differential equations
• Well-posedness of nonlinear diffusion equations with nonlinear, conservative noise
• Probabilistic theory of mean field games with applications II. Mean field games with common noise and master equations
• Stochastic non-isotropic degenerate parabolic-hyperbolic equations
• Stochastic flows and signed measure valued stochastic partial differential equations
• On signed measure valued solutions of stochastic evolution equations

Cited In (39)

• The evolution to equilibrium of solutions to nonlinear Fokker-Planck equation
• Rough nonlocal diffusions
• Porous media equations with nonlinear gradient noise and Dirichlet boundary conditions
• Alternative description of stochastic processes in nonlinear systems. ``Kinetic form of master and Fokker-Planck equations
• Superposition and mimicking theorems for conditional McKean-Vlasov equations
• Fokker-Planck equations for stochastic dynamical systems with symmetric Lévy motions
• Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians
• Linearization and a superposition principle for deterministic and stochastic nonlinear Fokker-Planck-Kolmogorov equations
• Optimal stopping of conditional McKean-Vlasov jump diffusions
• Nonlinear Fokker-Planck equations for probability measures on path space and path-distribution dependent sdes
• Propagation of chaos for mean field rough differential equations
• Local and global solution for a nonlocal Fokker-Planck equation related to the adaptive biasing force process
• Short-time propagators for nonlinear Fokker-Planck equations
• Nonlinear Fokker-Planck-Kolmogorov equation in the semiclassical coherent trajectory approximation
• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise
• A nonlocal Fokker-Planck equation for non-Gaussian stochastic dynamical systems
• Quasilinear rough partial differential equations with transport noise
• Flow selections for (nonlinear) Fokker-Planck-Kolmogorov equations
• Large deviations of conservative stochastic partial differential equations
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Weak existence and uniqueness for McKean-Vlasov SDEs with common noise
• Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control
• Pathwise McKean-Vlasov theory with additive noise
• Existence, stability and regularity of periodic solutions for nonlinear Fokker-Planck equations
• A QUASI-LINEAR STOCHASTIC FOKKER–PLANCK EQUATION IN σ-FINITE MEASURES
• Gaussian fluctuations for interacting particle systems with singular kernels
• Nonlinear Fokker-Planck equations in super-diffusive and sub-diffusive regimes
• A general conditional McKean-Vlasov stochastic differential equation
• Higher order regularity of nonlinear Fokker-Planck PDEs with respect to the measure component
• Well-posedness of the Dean-Kawasaki and the nonlinear Dawson-Watanabe equation with correlated noise
• Nonlinear Fokker-Planck-Kolmogorov equations in Hilbert spaces
• On nonlocal Fokker–Planck equations with nonlinear force fields and perturbations
• Hegselmann-Krause model with environmental noise
• Coupling by change of measure for conditional McKean-Vlasov SDEs and applications
• Existence and uniqueness of classical solutions to certain nonlinear integro-differential Fokker-Planck type equations
• Local well-posedness of a nonlinear Fokker–Planck model
• Long-time behavior of stochastic Hamilton-Jacobi equations
• Title not available (Why is that?)

This page was built for publication: Stochastic nonlinear Fokker-Planck equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2274375)