Mean-field SDEs with jumps and nonlocal integral-PDEs

DOI10.1007/s00030-016-0366-1zbMath1337.60121OpenAlexW2324132765MaRDI QIDQ282616

Juan Li, Tao Hao

Publication date: 12 May 2016

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00030-016-0366-1

zbMATH Keywords

jumpsvalue functionintegral-PDEMcKean-Vlasov equationmean-field stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Vlasov equations (35Q83) Integro-partial differential equations (35R09)

Related Items (14)

Linearization of nonlinear Fokker-Planck equations and applications ⋮ Regularity for distribution-dependent SDEs driven by jump processes ⋮ Anticipated mean-field backward stochastic differential equations with jumps ⋮ Equilibrium Model of Limit Order Books: A Mean-Field Game View ⋮ General mean-field BSDEs with continuous coefficients ⋮ Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs ⋮ Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations ⋮ Large and moderate deviation principles for McKean-Vlasov SDEs with jumps ⋮ Partial derivative with respect to the measure and its application to general controlled mean-field systems ⋮ Unnamed Item ⋮ Gradient estimates and exponential ergodicity for mean-field SDEs with jumps ⋮ Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise ⋮ Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps ⋮ Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Mean-field backward stochastic differential equations and related partial differential equations
• Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
• Mean-field backward stochastic differential equations: A limit approach
• Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Stochastic differential equations with jumps
• Mean field games
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Dynamics of the McKean-Vlasov equation
• McKean-Vlasov limit for interacting random processes in random media.
• Backward stochastic differential equations coupled with value function and related optimal control problems
• A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
• Mean-field stochastic differential equations and associated PDEs
• \(L^p\) estimates for fully coupled FBSDEs with jumps
• Long time average of first order mean field games and weak KAM theory
• Stochastic Differential Equations with Nonlocal Sample Dependence
• Backward stochastic differential equations and integral-partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Bond Market Structure in the Presence of Marked Point Processes
• Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
• Large deviations from the mckean-vlasov limit for weakly interacting diffusions
• The Master Equation for Large Population Equilibriums
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• A stochastic particle method for the McKean-Vlasov and the Burgers equation

This page was built for publication: Mean-field SDEs with jumps and nonlocal integral-PDEs