Conditional distributions, exchangeable particle systems, and stochastic partial differential equations

DOI10.1214/13-AIHP543zbMath1306.60086MaRDI QIDQ405502

Thomas G. Kurtz, Yoonjung Lee, Dan Crisan

Publication date: 5 September 2014

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1403277004

zbMATH Keywords

stochastic partial differential equationsquantile processesconditional distributionsmeasure-valued processesassignment gamesauction based pricingexchangeable systemsfiltering equations

Mathematics Subject Classification ID

Related Items (8)

A probabilistic approach to mean field games with major and minor players ⋮ On a strong form of propagation of chaos for McKean-Vlasov equations ⋮ Particle representations for stochastic partial differential equations with boundary conditions ⋮ Nonlinear diffusions and stable-like processes with coefficients depending on the median or var ⋮ Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients ⋮ On mean field games with common noise and McKean-Vlasov SPDEs ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Quadratic transportation inequalities for SDEs with measurable drift

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