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

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• scientific article; zbMATH DE number 724792

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)

Cites Work

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

Cited In (9)

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

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