McKean-Vlasov SDEs
Diffusive processes on the Wasserstein space : coalescing models, regularization properties and McKean-Vlasov equations
... . In [MV], Mishura and Veretennikov adapted estimates due to Krylov, established in the case of Itô’s SDEs, to the case of McKean-Vlasov SDEs. Strong uniqueness is proved when σ is does not ...
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Infinite-dimensional regularization of McKean-Vlasov equation with a Wasserstein diffusion
... Victor Marx ∗ Abstract. Much effort has been spent in recent years on restoring uniqueness of McKean- Vlasov SDEs with non-smooth coefficients. As a typical instance, the velocity field is assumed ...
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Control of McKean-Vlasov systems and applications
... of McKean-Vlasov SDEs has a long history with the pioneering works by Kac [ Kac56 ] and ...H. McKean [ McK67 ], and later on with papers in the general framework of propagation of chaos, see ...
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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 ...of SDEs with the macroscopic limiting behavior of a particle, evolving within a mean-field interaction ...
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Finite Volume Schemes for Vlasov
... Editors: Will be set by the publisher FINITE VOLUME SCHEMES FOR VLASOV ∗ N. Crouseilles 1 , P. Glanc 2 , M. Mehrenberger 3 and C. Steiner 4 Abstract. We present finite volumes schemes for the numerical ...
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Construction des opérateurs de Moller Pour l'équation de Vlasov
... words. Vlasov-Poisson equation, integro-differential operator, scattering theory, Moller wave operators, Landau ...linearized Vlasov-Poisson or Vlasov- Ampere equation and is dedicated to new ...
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Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift
... We close the section by an application of the stochastic flow. We obtain a Bismut- Elworthy-Li type formula for the derivative of the diffusion semigroup (P t ) associated to (1) (compare with [3] and [6]). It seems the ...
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Analysis of Backward SDEs with Jumps and Risk Management Issues
... laws of some continuous martingales on the canonical space Ω = C(R + , R d ), under a separability assumption on the quadratic variations (see their definition 4.8) and under an additional consistency condition (which ...
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Backward SDEs with constrained jumps and quasi-variational inequalities
... Key words : Backward stochastic differential equation, jump-diffusion process, jump constraints, penalization, quasi-variational inequalities, impulse control problems, viscosity solutio[r] ...
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A Stochastic Particle Method with Random Weights for the Computation of Statistical Solutions of McKean-Vlasov Equations. Part I: Foundation of the Method and Empirical Evidence
... Unité de recherche INRIA Sophia Antipolis 2004, route des Lucioles - BP 93 - 06902 Sophia Antipolis Cedex France Unité de recherche INRIA Lorraine : LORIA, Technopôle de Nancy-Brabois - [r] ...
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Reduced Vlasov-Maxwell simulations
... 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’enseignemen[r] ...
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A Stochastic Particle Method with Random Weights for the Computation of Statistical Solutions of McKean-Vlasov Equations. Part II: Convergence Rate of The Method
... Unité de recherche INRIA Sophia Antipolis 2004, route des Lucioles - BP 93 - 06902 Sophia Antipolis Cedex France Unité de recherche INRIA Lorraine : LORIA, Technopôle de Nancy-Brabois - [r] ...
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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
... We assume that the credit assets in the basket are small and homogeneous (for example, we suppose they belong to the same economic sector) so that their value is modeled by SDEs with the same volatility and drift ...
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SYMETRIZATION OF VLASOV-POISSON EQUATIONS
... linearized Vlasov-Amp`ere equation around ...linear Vlasov-Poisson equation ...linear Vlasov-Amp`ere equation which gives a more general setting in which the tools developed in this work can be ...
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Wellposedness of Second Order Backward SDEs
... backward SDEs to the second order. While standard Backward SDEs are naturally connected to semilinear PDEs, our second order extension is connected to fully nonlinear PDEs, as suggested in ...
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A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: The two-dimensional case
... new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: The two-dimensional ...a McKean-Vlasov stochastic ...this McKean-Vlasov representation ...
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A new McKean-Vlasov stochastic interpretation of the parabolic-parabolic Keller-Segel model: The one-dimensional case
... the McKean-Vlasov stochastic representation of the mild formulation of the equation satisfied by ρ t ...the McKean-Vlasov non-linear SDE ...
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White-noise driven conditional McKean-Vlasov limits for systems of particles with simultaneous and random jumps
... that McKean-Vlasov limits are considered where the underlying driving martingale measures are only present in the limit system, but not at the level of the N particle ...
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Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
... ν s (α) := k(α)1 ( ˇ T n , ˇ T n+1 ] (s)Ψ(s, ˇ T 1 , . . . , ˇ T n , ˇ A 1 , . . . , ˇ A n ) is such that J R (t, x, π, ν) = ˇ J R (t, x, π, ˇ ν). Step II. Proof of the inequality V (t, x, π) ≥ V R (t, x, π). We shall ...
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Trapping scaling for bifurcations in Vlasov systems
... time and the total initial energy is at most of the order of 10 −7 . V. CONCLUSION To summarize, we have elucidated for one-dimensional Vlasov equations the generic dynamics of a non oscillat- ing instability of a ...
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