The density evolution of the killed McKean-Vlasov process

DOI10.1080/17442508.2019.1650041MaRDI QIDQ5086500zbMATH OpenOpenAlexWikidataFDO

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

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

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

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)

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.

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Cited in

(2)

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• The Fleming-Viot process with McKean-Vlasov dynamics

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