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

DOI10.1214/13-AIHP543zbMATH Open1306.60086MaRDI QIDQ405502FDOQ405502

Authors: Dan Crisan, Thomas G. Kurtz, Yoonjung Lee 

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

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zbMATH Keywords

stochastic partial differential equationsconditional distributionsmeasure-valued processesassignment gamesauction based pricingexchangeable systemsfiltering equationsquantile processes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Auctions, bargaining, bidding and selling, and other market models (91B26) Continuous-time Markov processes on general state spaces (60J25) Exchangeability for stochastic processes (60G09)

Cites Work

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Cited In (11)

• 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
• Quadratic transportation inequalities for SDEs with measurable drift
• A probabilistic approach to mean field games with major and minor players
• Stochastic PDEs for large portfolios with general mean-reverting volatility processes
• Particle representations for stochastic partial differential equations with boundary conditions
• On a class of linear quadratic Gaussian quantilized mean field games
• On mean field games with common noise and McKean-Vlasov SPDEs
• Title not available (Why is that?)
• Nonlinear diffusions and stable-like processes with coefficients depending on the median or var
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction

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