Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
stochastic partial differential equationsconditional distributionsmeasure-valued processesassignment gamesauction based pricingexchangeable systemsfiltering equationsquantile processes
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)
- Particle representations for a class of nonlinear SPDEs
- Stochastic partial differential equations for a class of interacting measure-valued diffusions
- scientific article; zbMATH DE number 4066046
- An SPDE model for systemic risk with endogenous contagion
- Limit theorem for countable systems of stochastic differential equations
- scientific article; zbMATH DE number 1583966 (Why is no real title available?)
- scientific article; zbMATH DE number 5831855 (Why is no real title available?)
- scientific article; zbMATH DE number 3883346 (Why is no real title available?)
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 4104107 (Why is no real title available?)
- scientific article; zbMATH DE number 3665908 (Why is no real title available?)
- scientific article; zbMATH DE number 18229 (Why is no real title available?)
- scientific article; zbMATH DE number 933357 (Why is no real title available?)
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Diffusions conditionnelles. I. Hypoellipticité partielle
- Financial price fluctuations in a stock market model with many interacting agents
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Hypoellipticity theorems and conditional laws
- Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type
- Malliavin calculus applications to the study of nonlinear filtering
- Market volatility and feedback effects from dynamic hedging
- Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
- Particle representations for a class of nonlinear SPDEs
- Some inequalities for martingales and stochastic convolutions
- Stock price fluctuation as a diffusion in a random environment
- The assignment game. I: The core
- The partial malliavin calculus and its application to non-linear filtering
- 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
- Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations
- scientific article; zbMATH DE number 1409856 (Why is no real title available?)
- 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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