Large deviation for mean-field stochastic differential equations with subdifferential operator

DOI10.1080/07362994.2015.1134334MaRDI QIDQ2804515zbMATH OpenOpenAlexFDO

Authors Yong Ren

Publication date 29 April 2016

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2015.1134334

zbMATH Keywords

weak convergence methodmean-field stochastic differential equationssubdifferential operatoruniform large deviation principle

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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Cites work

• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• Approximation and simulation of stochastic variational inequalities - splitting up method
• General large deviations and functional iterated logarithm law for multivalued stochastic differential equations
• Large deviations for infinite dimensional stochastic dynamical systems
• Large deviations for infinite-dimensional stochastic systems with jumps
• Large deviations for multivalued stochastic differential equations
• Large deviations of mean-field stochastic differential equations with jumps
• Mean field games
• Mean-field backward stochastic differential equations: A limit approach
• Multivalued Skorohod problem
• Nonlinear Differential Equations of Monotone Types in Banach Spaces
• On existence, uniqueness and convergence of multi-valued stochastic differential equations driven by continuous semimartingales
• Self-enforcing collusion in large dynamic markets
• The optimal control problem associated with multi-valued stochastic differential equations with jumps

Cited in

(3)

• On uniform large deviations principle for multi-valued SDEs via the viscosity solution approach
• Asymptotic behaviors of small perturbation for multivalued Mckean-Vlasov stochastic differential equations
• Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations

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