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

DOI10.1007/s00245-013-9199-zzbMath1273.49031arXiv1207.5925OpenAlexW2121420989MaRDI QIDQ373002

Vassili N. Kolokol'tsov

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

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

Mathematics Subject Classification ID

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

Related Items (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

Cites Work

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• Two-sided estimates of fundamental solutions of second-order parabolic equations, and some applications
• Symmetric Stable Laws and Stable-Like Jump-Diffusions
• Estimates for Fundamental Solutions of Second-Order Parabolic Equations
• Mean Field for Markov Decision Processes: From Discrete to Continuous Optimization
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