Weak solutions of mean-field stochastic differential equations

DOI10.1080/07362994.2017.1278706zbMATH Open1408.60046OpenAlexW2588175896MaRDI QIDQ2986703FDOQ2986703

Authors Juan Li, Hui Min 

Publication date 16 May 2017

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

Full work available at URL https://doi.org/10.1080/07362994.2017.1278706

zbMATH Keywords

weak solutionmean-field stochastic differential equationsuniqueness in lawlocal martingale problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A certain class of diffusion processes associated with nonlinear parabolic equations
• A martingale approach to the law of large numbers for weakly interacting stochastic processes
• A probabilistic weak formulation of mean field games and applications
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• Diffusion processes with continuous coefficients, I
• Large systems of diffusions interacting through their ranks
• Mean field games
• Mean field games via controlled martingale problems: existence of Markovian equilibria
• ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS
• On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
• On stability and existence of solutions of SDEs with reflection at the boundary
• On the McKean-Vlasov Limit for Interacting Diffusions
• Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games

Cited in

(13)

• Weak Solutions for Stochastic FitzHugh–Nagumo Equations
• McKean-Vlasov SDEs under measure dependent Lyapunov conditions
• Stability for stochastic McKean-Vlasov equations with non-Lipschitz coefficients
• Mean-field stochastic differential equations and associated PDEs
• Least squares estimation for path-distribution dependent stochastic differential equations
• Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games
• Weak and strong solutions of general stochastic models
• Strong solutions of mean-field stochastic differential equations with irregular drift
• Diffusion approximation for multi-scale McKean-Vlasov SDEs through different methods
• Weak nonmild solutions to some SPDEs
• Weak solution for stochastic differential equations with terminal conditions
• Weak solutions to Vlasov-McKean equations under Lyapunov-type conditions
• Approximation of solutions of mean-field stochastic differential equations

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