Diffusions with a nonlinear irregular drift coefficient and probabilistic interpretation of generalized Burgers' equations

DOI10.1051/ps:1997113zbMath0929.60062OpenAlexW2026056898MaRDI QIDQ4386043

Benjamin Jourdain

Publication date: 26 April 1998

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/104238

zbMATH Keywords

Burgers' equationmartingale problemsidentity diffusion matrixLipschitz continuous matrices

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (13)

On a strong form of propagation of chaos for McKean-Vlasov equations ⋮ Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation ⋮ Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space ⋮ Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients ⋮ Long time behaviour and mean-field limit of Atlas models ⋮ Strong solutions of mean-field stochastic differential equations with irregular drift ⋮ Well-posedness of some non-linear stable driven SDEs ⋮ From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs ⋮ Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs ⋮ McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance ⋮ Infinite-dimensional regularization of McKean-Vlasov equation with a Wasserstein diffusion ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations

Cites Work

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• A propagation of chaos result for a system of particles with moderate interaction
• Nonlinear diffusion with jumps
• Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation
• A law of large numbers for moderately interacting diffusion processes
• The partial differential equation u_t + uu_x = μ_xx
• On a quasi-linear parabolic equation occurring in aerodynamics

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