The density evolution of the killed McKean-Vlasov process

DOI10.1080/17442508.2019.1650041zbMATH Open1490.60143arXiv1812.10934OpenAlexW2966674208WikidataQ127397851 ScholiaQ127397851MaRDI QIDQ5086500FDOQ5086500

Authors: Peter E. Caines, Daniel W. C. Ho, Qingshuo Song 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: The study of the density evolution naturally arises in Mean Field Game theory for the estimation of the density of the large population dynamics. In this paper, we study the density evolution of McKean-Vlasov stochastic differential equations in the presence of an absorbing boundary, where the solution to such equations corresponds to the dynamics of partially killed large populations. By using a fixed point theorem, we show that the density evolution is characterized as the unique solution of an integro-differential Fokker-Planck equation with Cauchy-Dirichlet data.

Full work available at URL: https://arxiv.org/abs/1812.10934

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zbMATH Keywords

absorbing boundaryMcKean-Vlasov stochastic differential equationsCauchy-Dirichlet dataintegro-differential Fokker-Planck equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (2)

• The Fleming-Viot process with McKean-Vlasov dynamics
• A stochastic McKean-Vlasov equation for absorbing diffusions on the half-line

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