Nonlinear diffusions and stable-like processes with coefficients depending on the median or var

DOI10.1007/S00245-013-9199-ZMaRDI QIDQ373002zbMATH OpenOpenAlexFDO

Authors Vassili Kolokoltsov

Publication date 21 October 2013

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.5925

zbMATH Keywords

quantilemedianvalue at risknonlinear Markov processesMcKean-Vlasov diffusionstable-like processestempered stable processes

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Abstract: In June 2012 on a conference in Bielefeld, after the author made the presentation of his theory of nonlinear Markov processes, Tom Kurtz asked him whether his methods would allow to get well-posedness for nonlinear McKean-Vlasov type diffusions with coefficients depending on the distribution via the median. The present paper is the answer to this question. The aim here is not to find the weakest possible conditions for the affirmative answer, but a sensible general result with a quick and transparent proof.

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Cites work

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Cited in

(3)

• Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients
• On mean field games with common noise and McKean-Vlasov SPDEs
• On a strong form of propagation of chaos for McKean-Vlasov equations

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