Nonlinear SDEs driven by L\'evy processes and related PDEs

From MaRDI portal
Publication:3623872

zbMath1162.60327arXiv0707.2723MaRDI QIDQ3623872

Benjamin Jourdain, Wojbor A. Woyczyński, Sylvie Méléard

Publication date: 27 April 2009

Full work available at URL: https://arxiv.org/abs/0707.2723




Related Items

A probabilistic approach to mean field games with major and minor playersBellman equation and viscosity solutions for mean-field stochastic control problemSmoothing properties of McKean-Vlasov SDEsExtended mean-field control problem with partial observationWeak quantitative propagation of chaos via differential calculus on the space of measuresA Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumpsMean-field-type games with jump and regime switchingExistence and optimality conditions for relaxed mean-field stochastic control problemsFrom mean field games to the best reply strategy in a stochastic frameworkA maximum principle for mean-field SDEs with time changeForward-backward stochastic differential equations and controlled McKean-Vlasov dynamicsMaximum principle for mean-field SDEs under model uncertaintyLarge and moderate deviation principles for McKean-Vlasov SDEs with jumpsA stochastic maximum principle for a stochastic differential game of a mean-field typeRisk-sensitive mean-field-type games with \(L^p\)-norm driftsStochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal ControlOnline parameter estimation for the McKean-Vlasov stochastic differential equationTime-inconsistent mean-field optimal stopping: a limit approachQuenched mass transport of particles toward a targetLévy flights in evolutionary ecologyA general stochastic maximum principle for SDEs of mean-field typeStrong solutions of mean-field stochastic differential equations with irregular driftProbabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equationsApplication of the lent particle method to Poisson-driven SDEsWell-posedness of some non-linear stable driven SDEsMean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market modelLinear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agentsCubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interactionOn the relaxed mean-field stochastic control problemAntithetic multilevel sampling method for nonlinear functionals of measureWell-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEsA maximum principle for SDEs of mean-field typeRobust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix\(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumpsStability and prevalence of Mckean-Vlasov stochastic differential equations with non-Lipschitz coefficientsOptimal control and zero-sum games for Markov chains of mean-field typeAn emergent autonomous flow for mean-field spin glassesRisk-Sensitive Mean-Field Type Control Under Partial ObservationStability of McKean–Vlasov stochastic differential equations and applicationsFractional Fokker--Planck Equation with General Confinement ForceRisk-sensitive mean field games via the stochastic maximum principleBias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKeanUnnamed ItemBifurcation to coherent structures in nonlocally coupled systemsExponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noiseInteracting multi-class transmissions in large stochastic networksNecessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizonMean-field-type gamesLarge deviations of mean-field stochastic differential equations with jumpsHarnack inequalities for McKean-Vlasov SDEs driven by subordinate Brownian motionsDeep learning schemes for parabolic nonlocal integro-differential equationsOn the convergence of carathéodory numerical scheme for Mckean-Vlasov equationsMcKean Feynman-Kac probabilistic representations of non-linear partial differential equations




This page was built for publication: Nonlinear SDEs driven by L\'evy processes and related PDEs