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

DOI10.1007/S00245-013-9199-ZzbMATH Open1273.49031arXiv1207.5925OpenAlexW2121420989MaRDI QIDQ373002FDOQ373002

Authors: Vassili Kolokoltsov 

Publication date: 21 October 2013

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

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.

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

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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)

Cites Work

• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
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• Markov processes, semigroups and generators.
• Estimates for Fundamental Solutions of Second-Order Parabolic Equations
• Systems of equations driven by stable processes
• Large deviation properties of weakly interacting processes via weak convergence methods
• Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
• Semiclassical analysis for diffusions and stochastic processes
• Two-sided estimates of fundamental solutions of second-order parabolic equations, and some applications
• Nonlinear Markov semigroups and interacting Lévy type processes

Cited In (3)

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

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