Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type

DOI10.1007/S00440-008-0188-0zbMATH Open1189.60123OpenAlexW2043295228MaRDI QIDQ843706FDOQ843706

Authors: Thomas G. Kurtz, Peter M. Kotelenez 

Publication date: 15 January 2010

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-008-0188-0

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zbMATH Keywords

stochastic partial differential equationspartial differential equationsparticle systemsmacroscopic limitexchangeable sequencesstochastic ordinary differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Exchangeability for stochastic processes (60G09) Other physical applications of random processes (60K40)

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Cited In (39)

• Regularity for distribution-dependent SDEs driven by jump processes
• Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations
• Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
• Risk-sensitive mean-field-type games with \(L^p\)-norm drifts
• Systemic risk and default clustering for large financial systems
• Maximum principle for mean-field SDEs under model uncertainty
• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
• Mean-field SDEs with jumps and nonlocal integral-PDEs
• Rate of homogenization for fully-coupled McKean–Vlasov SDEs
• Marginal dynamics of interacting diffusions on unimodular Galton-Watson trees
• Information upper bound for McKean–Vlasov stochastic differential equations
• Modeling flocks and prices: jumping particles with an attractive interaction
• Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
• Stochastic PDEs for large portfolios with general mean-reverting volatility processes
• On the Hahn-Jordan decomposition for signed measure valued stochastic partial differential equations
• An Itô formula for rough partial differential equations and some applications
• Insensitivity of the mean field limit of loss systems under \(\mathrm{SQ}(d)\) routeing
• Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach
• Particle representations for stochastic partial differential equations with boundary conditions
• Mean field interaction on random graphs with dynamically changing multi-color edges
• Large deviations for flows of interacting Brownian motions
• Mean-field backward stochastic differential equations in general probability spaces
• Itô and Stratonovich stochastic partial differential equations: Transition from microscopic to macroscopic equations
• Stochastic ordinary and stochastic partial differential equations. Transition from microscopic to macroscopic equations.
• A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
• Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients
• Mean-field backward stochastic differential equations with subdifferential operator and its applications
• Large deviations of mean-field stochastic differential equations with jumps
• Indefinite mean-field type linear-quadratic stochastic optimal control problems
• Smooth solutions of quasilinear stochastic partial differential equations of McKean-Vlasov type
• Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
• Hydrodynamic limit of a stochastic model of proliferating cells with chemotaxis
• Stochastic PDEs on graphs as scaling limits of discrete interacting systems
• A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
• Gradient estimates and exponential ergodicity for mean-field SDEs with jumps
• Conservation of total vorticity for a 2D stochastic Navier-Stokes equation
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Rate control under heavy traffic with strategic servers
• Stochastic evolution equations for large portfolios of stochastic volatility models

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