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McKean stochastic differential equation

McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

... line equation of ...linking equation. When Λ = 0, in equation (1.2), the linking equation simply says that u(t, ·) coincides with the density of the marginal distribution L(Y t ...case, ...

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Optimal Quantization: Limit Theorems, Clustering and Simulation of the McKean-Vlasov Equation

Optimal Quantization: Limit Theorems, Clustering and Simulation of the McKean-Vlasov Equation

... Chapter 1 Introduction 1.1 General background on optimal quantization Vector quantization was originally developed as an optimal discretization method for the signal transmission and compression by the Bell laboratories ...

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Stochastic differential equations : strong well-posedness of singular and degenerate equations; numerical analysis of decoupled forward backward systems of McKean-Vlasov type

Stochastic differential equations : strong well-posedness of singular and degenerate equations; numerical analysis of decoupled forward backward systems of McKean-Vlasov type

... factor stochastic volati- lity models [ Ber09 ] or uncertain volatility models [ GHL11 ] ; in economics, in the theory of “mean field games” recently developed by ...which equation ( ...

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Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

... formula, as explained in Theorems 6.1 and 6.2, Section 6 in [20]. Ideally our interest is devoted to (1.4) when the smoothing kernel K reduces to a Dirac measure at zero. To reach that scope, one would need to replace in ...

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Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *

Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *

... n-player stochastic differential game, one looks for cooperative equilibriums by taking the point of view of a center of decision (or social planner), which decides on the strategies for all banks, with the ...

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Mean Field Forward-Backward Stochastic Differential Equations

Mean Field Forward-Backward Stochastic Differential Equations

... adjoint equation which now involves differentiation of the Hamiltonian with respect to the measure ...adjoint equation was introduced, and a new stochastic maximum principle was proven in ...adjoint ...

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Extended McKean-Vlasov optimal stochastic control applied to smart grid management

Extended McKean-Vlasov optimal stochastic control applied to smart grid management

... extended McKean-Vlasov stochastic control ...certain McKean-Vlasov Forward Backward Stochastic Differential Equation (possibly with jumps), for which we prove existence and ...

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A cubature based algorithm to solve decoupled McKean-Vlasov Forward Backward Stochastic Differential Equations

A cubature based algorithm to solve decoupled McKean-Vlasov Forward Backward Stochastic Differential Equations

... below. McKean Vlasov processes may be regarded as a limit approximation for interacting systems with large number of ...factor stochastic volatility models [ Ber09 ] or uncertain volatility models [ GHL11 ...

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Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics

Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics

... a stochastic control problem where the conditional law P W 0 X t is the sole controlled state variable driven by the random noise W 0 , and by showing the continuity of the value function in the Wasserstein space ...

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Weak error analysis for time and particle discretizations of some stochastic differential equations non linear in the sense of McKean

Weak error analysis for time and particle discretizations of some stochastic differential equations non linear in the sense of McKean

... the stochastic differential equation and the Euler scheme for the regularized coefficient, is also applied in [ 59 ] to the case of time-dependent, bounded, uniformly elliptic and continuous ...

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Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics

Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics

... the stochastic maximum principle to the solution of the optimal control of McKean-Vlasov ...the equation, inherited from the underlying optimization ...

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Zero-sum stochastic differential games of generalized McKean-Vlasov type *

Zero-sum stochastic differential games of generalized McKean-Vlasov type *

... zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equation in ...

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Multidimensional stochastic differential equations with distributional drift

Multidimensional stochastic differential equations with distributional drift

... of stochastic differential equations with generalized coefficients, it is difficult to quote them all: in particular, we refer to the case when b is a measure, [4, 7, 18, ...solving stochastic ...

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A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.

A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation.

... nothing else but the classical porous media equation. When ψ is a general increasing function (and µ ≡ 0), there are several contributions to the an- alytical study of (1.1), starting from [11] for existence, [14] ...

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Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations

Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations

... backward stochastic differential equation ...Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an ...

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Obliquely Reflected Backward Stochastic Differential Equations

Obliquely Reflected Backward Stochastic Differential Equations

... 3 Existence and uniqueness in a regular setting In this section, we obtain an existence and uniqueness result in a non Markovian setting, working under assumption (SB) and considering terminal condition in the class T β ...

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Image Denoising using Stochastic Differential Equations

Image Denoising using Stochastic Differential Equations

... Unité de recherche INRIA Sophia Antipolis 2004, route des Lucioles - BP 93 - 06902 Sophia Antipolis Cedex France Unité de recherche INRIA Futurs : Parc Club Orsay Université - ZAC des Vi[r] ...

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Averaging principle for stochastic differential equations

Averaging principle for stochastic differential equations

... Veretennikov (1990) On large deviations in the averaging principle for stochas- tic differential equations with periodic coefficients. Veretennikov (1991) On the averaging prin[r] ...

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Stochastic spikes and strong noise limits of stochastic differential equations

Stochastic spikes and strong noise limits of stochastic differential equations

... of stochastic differential equations with a fixed point subject to an additional infinitesimal repulsive perturbation exhibit a universal behavior when time is rescaled appropri- ately: by tuning the time ...

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A veraging principle for stochastic differential equations

A veraging principle for stochastic differential equations

... Veretennikov (1990) On large deviations in the averaging principle for stochas- tic differential equations with periodic coefficients. Veretennikov (1991) On the averaging prin[r] ...

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