McKean type Non-linear Stochastic Differential Equations
Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
... of non-linearity on the zero order term. This type of approach has been recently extended in [15, 16] to a more general class of non-linearities on the zero order term, with the so-called marked ...
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McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
... a McKean Stochastic Differential Equation (MSDE), which is in general an SDE whose coefficients, at time t, depend, not only on (t, Y t ), but also on the marginal law L(Y t ...general type of ...
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Analytical approximations of non-linear SDEs of McKean-Vlasov type
... scalar McKean- Vlasov stochastic differential equations (MKV-SDEs) with random initial ...the non-linear forward Kolmogorov equation associated to the MKV-SDE, we perform a ...
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Weak error analysis for time and particle discretizations of some stochastic differential equations non linear in the sense of McKean
... i=1 1 {X i,n t ≤x} the empirical cumulative distribution function at time t of this second particle system. Both dynamics are so-called rank-based models since the drift (and the diffusion) coefficient only depend on the ...
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Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics
... the stochastic Pontryagin maximum principle that is tailor-made to McKean- Vlasov dynamics and give sufficient conditions for existence of an optimal ...Backward Stochastic Differential ...
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Mean Field Forward-Backward Stochastic Differential Equations
... Backward Stochastic Differential Equations (FBSDEs) of the McKean-Vlasov ...Backward Stochastic Differential Equations (BSDEs) of McKean Vlasov type have ...
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A generalized spectral decomposition technique to solve a class of linear stochastic partial differential equations
... 3.3 Krylov-type iterative techniques In practice, system (13) can not be solved by a direct resolution technique. Indeed, memory requirements and computational costs of assembling and solv- ing this huge system ...
On the meromorphic solutions of linear differential equations
... where A 1 (z) or A 0 (z) is transcendental meromorphic function, it is well-known that if f 1, f2 are two linearly independent meromorphic solutions of (2), then by [3, Lemma 3], there is at least one of f 1 , f 2 of ...
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A Probabilistic Numerical Method for Fully Non-linear Parabolic Partial Differential Equations
... L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ...
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On the discretization of backward doubly stochastic differential equations
... backward stochastic differential equations (BSDEs) have been intensively studied during the two last ...finance, stochastic control, partial differential equations; see ...Doubly ...
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Stochastic partial differential equations with singular terminal condition
... These equations appear naturally in various applications as for instance, Zakai equation in filtering ([26, 27]), in pathwise stochastic control theory or stochastic control with partial observations ...
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Repeated games for eikonal equations, integral curvature flows and non-linear parabolic integro-differential equations
... the non- locality of the problems approximated, by contrast with local problems, their choices have to “collect” information far from their current ...integro-differential equations, players choose ...
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Differential polynomials generated by second order linear differential equations
... [1] Chen, Z. X., Zeros of meromorphic solutions of higher order linear differential equa- tions, Analysis (Oxford) 14 (1994), 425–438. [2] Chen, Z. X., The fixed points and hyper order of solutions of ...
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Multidimensional stochastic differential equations with distributional drift
... the type (5) dX t = σ(X t )dW t + b(X t )dt, t ∈ [0, T ], where σ is a strictly positive continuous function and b is the derivative of a real continuous function was solved and analyzed carefully in [10] and ...
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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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Stochastic spikes and strong noise limits of stochastic differential equations
... provided and λ are scaled in an appropriate way. It is easy to verify that, at large λ and fixed t, X t is of order . More precisely there is an explicit distribution function F such that for, each fixed t, lim λ→∞ ...
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Degenerate Parabolic Stochastic Partial Differential Equations: Quasilinear case
... B Y A RNAUD D EBUSSCHE , M ARTINA H OFMANOVÁ AND J ULIEN V OVELLE IRMAR CNRS et ENS Rennes, Max Planck Institute for Mathematics in the Sciences and Université Lyon 1 In this paper, we study the Cauchy problem for a ...
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Backward stochastic differential equations and stochastic control and applications to mathematical finance
... by stochastic control problem where control can affect both drift and diffusion terms of the state process, generated important recent ...a non dominated class of mutually singular ...
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Infinite order solutions of complex linear differential equations
... Analyse Math., vol. 29, pp. 232–293, 1976. [6] G. G. Gundersen, “Estimates for the logarithmic derivative of a meromorphic function, plus simi- lar estimates,” J. London Math. Soc. (2), vol. 37, no. 1, pp. 88–104, 1988. ...
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Backward Stochastic Differential Equations with no driving martingale, Markov processes and associated Pseudo Partial Differential Equations
... some non- local operators are added to the classical partial differential maps, and proved that, under some continuity conditions on the coefficients, the BSDE provides a viscosity solution of the ...of non ...
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