Probabilistic representation for solutions to nonlinear Fokker-Planck equations

DOI10.1137/17M1162780zbMATH Open1407.60091arXiv1801.10510OpenAlexW2963864571WikidataQ129427424 ScholiaQ129427424MaRDI QIDQ3177739FDOQ3177739

Viorel Barbu, Michael Röckner

Publication date: 2 August 2018

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Abstract: One obtains a probabilistic representation for the entropic generalized solutions to a nonlinear Fokker-Planck equation in $mathbb{R}^d$ with multivalued nonlinear diffusion term as density probabilities of solutions to a nonlinear stochastic differential equation. The case of a nonlinear Fokker-Planck equation with linear space dependent drift is also studied.

Full work available at URL: https://arxiv.org/abs/1801.10510

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zbMATH Keywords

Fokker-Planck equationprobability densityentropic solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Quasilinear parabolic equations (35K59) Initial value problems for second-order parabolic equations (35K15) Diffusion processes and stochastic analysis on manifolds (58J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

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Cited In (47)

• The evolution to equilibrium of solutions to nonlinear Fokker-Planck equation
• Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality
• Direct derivation of corrective terms in SDE through nonlinear transformation on Fokker-Planck equation
• Harnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motions
• Regularity for distribution-dependent SDEs driven by jump processes
• Distribution dependent stochastic differential equations
• Title not available (Why is that?)
• Superposition and mimicking theorems for conditional McKean-Vlasov equations
• The Trotter product formula for nonlinear Fokker-Planck flows
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• On the Ambrosio-Figalli-Trevisan superposition principle for probability solutions to Fokker-Planck-Kolmogorov equations
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• Flow selections for (nonlinear) Fokker-Planck-Kolmogorov equations
• Superposition principle for non-local Fokker-Planck-Kolmogorov operators
• Euler scheme for density dependent stochastic differential equations
• Exponential ergodicity and propagation of chaos for path-distribution dependent stochastic Hamiltonian system
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• Density functions of distribution dependent SDEs driven by Lévy noises
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