Mean-field SDEs with jumps and nonlocal integral-PDEs

DOI10.1007/s00030-016-0366-1zbMath1337.60121MaRDI 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

jumps; value function; integral-PDE; McKean-Vlasov equation; mean-field stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60K35: Interacting random processes; statistical mechanics type models; percolation theory

35Q83: Vlasov equations

35R09: Integro-partial differential equations

Related Items

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

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