Rough nonlocal diffusions

DOI10.1016/J.SPA.2021.07.002MaRDI QIDQ2238882zbMATH OpenOpenAlexFDO

Authors Michele Coghi, Torstein Nilssen

Publication date 2 November 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.07270

zbMATH Keywords

non-local equationsstochastic PDEsrough pathsMcKean-Vlasov

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Nonlinear parabolic equations (35K55) Rough paths (60L20)

Abstract: We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To study the equation we build a self-contained framework of non-linear rough integration theory which we use to study McKean-Vlasov equations perturbed by rough paths. We construct an appropriate notion of solution of the corresponding Fokker-Planck equation and prove well-posedness.

Recommendations

• Nonlocal diffusion of smooth sets
• Rough stochastic PDEs
• Hypoelliptic non-homogeneous diffusions
• scientific article; zbMATH DE number 2070794
• Nonlocal diffusion and applications
• scientific article; zbMATH DE number 797397
• Nonlocal diffusion equations
• Diffusion processes with non-smooth diffusion coefficients and their density functions
• Quasi-nonlocal coupling of nonlocal diffusions

Cites work

• scientific article; zbMATH DE number 1583966 (Why is no real title available?)
• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
• A course on rough paths. With an introduction to regularity structures
• A course on rough paths. With an introduction to regularity structures
• A priori estimates for rough PDEs with application to rough conservation laws
• An energy method for rough partial differential equations
• Controlling rough paths
• Evolving communities with individual preferences
• Existence, uniqueness and stability of semi-linear rough partial differential equations
• Functional analysis, Sobolev spaces and partial differential equations
• Integrability and tail estimates for Gaussian rough differential equations
• Mean field games with common noise
• Multidimensional stochastic processes as rough paths. Theory and applications.
• One-dimensional reflected rough differential equations
• Particle representations for a class of nonlinear SPDEs
• Pathwise McKean-Vlasov theory with additive noise
• Propagation of chaos for interacting particles subject to environmental noise
• Rough flows
• Solving mean field rough differential equations
• Stochastic McKean-Vlasov equations
• Stochastic nonlinear Fokker-Planck equations
• Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
• Stochastic partial differential equations: an introduction
• Unbounded rough drivers

Cited in

(5)

• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Solution properties of the incompressible Euler system with rough path advection
• Pathwise regularisation of singular interacting particle systems and their mean field limits
• Regularization of multiplicative SDEs through additive noise

This page was built for publication: Rough nonlocal diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2238882)