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A Hilbertian approach for fluctuations on the McKean-Vlasov model
2 references·3 citing·16 second hop
A Hilbertian approach for fluctuations on the McKean-Vlasov model (1997)A Hilbertian approach for fluctuations on…On the McKean‐Vlasov Limit for Interacting Diffusions (1988)On the McKean‐Vlasov Limit fo…Infinite dimensional analysis and stochastic processes (1985)Infinite dimensional analysis…Nonparametric estimation for interacting particle systems: McKean–Vlasov models (2021)Nonparametric estimation for …A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems (2019)A stochastic maximum principl…Fluctuation analysis for the loss from default (2014)Fluctuation analysis for the …Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)A probabilistic weak formulation of mean field games and applications (2015)Credit contagion and aggregate losses (2005)Common Failings: How Corporate Defaults Are Correlated (2007)Large Deviations for a Mean Field Model of Systemic Risk (2013)A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line (2017)Inference for Large Financial Systems (2017)Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic Integration and Differential Equations (2005)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Continuous Martingales and Brownian Motion (1999)Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean Field Games with Applications II (2018)
this work references cited by second hop

References

  • 1988On the McKean‐Vlasov Limit for Interacting Diffusions235 cited
  • 1985Infinite dimensional analysis and stochastic processes66 cited

Cited by

  • 2021Nonparametric estimation for interacting particle systems: McKean–Vlasov models38 cited
  • 2014Fluctuation analysis for the loss from default37 cited
  • 2019A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems32 cited

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