A general conditional McKean-Vlasov stochastic differential equation

DOI10.1214/22-aap1858zbMath1525.60070arXiv2108.03425MaRDI QIDQ6104018

Juan Li, Rainer Buckdahn, Jin Ma

Publication date: 5 June 2023

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.03425

zbMATH Keywords

weak solution; conditional McKean-Vlasov SDEs; Kantorovich-Rubinstein's duality

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60G57: Random measures

35R60: PDEs with randomness, stochastic partial differential equations

Related Items

Impulse control of conditional McKean-Vlasov jump diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Mean field games with common noise
• A mean-field stochastic control problem with partial observations
• Weak existence and uniqueness for McKean-Vlasov SDEs with common noise
• At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem
• Forward and backward stochastic differential equations with normal constraints in law
• Stochastic nonlinear Fokker-Planck equations
• Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs
• Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors