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Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients
2 references·12 citing·35 second hop
Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)Existence and uniqueness of martingale so…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Superposition and mimicking theorems for conditional McKean–Vlasov equations (2022)Superposition and mimicking t…Well-posedness of distribution dependent SDEs with singular drifts (2021)Well-posedness of distributio…On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)On the convergence of closed-…From nonlinear Fokker–Planck equations to solutions of distribution dependent SDE (2020)From nonlinear Fokker–Planck …Stochastic Hamiltonian flows with singular coefficients (2018)Stochastic Hamiltonian flows …On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications (2018)On the Discretization of Some…A semi-Lagrangian scheme for a degenerate second order mean field game system (2015)A semi-Lagrangian scheme for …Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients (2013)Well-posedness and large devi…Stochastic differential equations with coefficients in Sobolev spaces (2010)Stochastic differential equat…Existence and uniqueness of solutions for Fokker–Planck equations on Hilbert spaces (2010)Existence and uniqueness of s…Stochastic flows of SDEs with irregular coefficients and stochastic transport equations (2009)Stochastic flows of SDEs with…Flow of Homeomorphisms and Stochastic Transport Equations (2007)Flow of Homeomorphisms and St…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Averaging along irregular curves and regularisation of ODEs (2016)Stochastic Flows and Stochastic Differential Equations (1998)Continuous Martingales and Brownian Motion (1999)An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE (2013)Stochastic controls : Hamiltonian systems and HJB equations (1999)Controlled Markov Processes and Viscosity Solutions (2005)Mean field games (2007)Finite Mean Field Games: Fictitious play and convergence to a first order continuous mean field game (2019)A policy iteration method for mean field games (2021)Stochastic Integration and Differential Equations (2005)An introduction to stochastic partial differential equations (2006)On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness (2019)Selection of equilibria in a linear quadratic mean-field game (2019)An Introduction to Mean Field Game Theory (2020)Distribution dependent SDEs with singular coefficients (2018)Distribution dependent stochastic differential equations (2021)Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2021)Large and Moderate Deviation Principles for McKean-Vlasov SDEs with Jumps (2022)Stochastic Analysis (1997)Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients (2016)Strong existence and uniqueness for degenerate SDE with Hölder drift (2017)Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochastic Calculus (2007)Limit Theorems for Stochastic Processes (2003)Probabilistic Analysis of Mean-Field Games (2013)Probabilistic Theory of Mean Field Games with Applications II (2018)Strong convergence order for slow–fast McKean–Vlasov stochastic differential equations (2021)Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2022)Strong uniqueness for SDEs in Hilbert spaces with nonregular drift (2016)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)
this work references cited by second hop

References

  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited

Cited by

  • 2020From nonlinear Fokker–Planck equations to solutions of distribution dependent SDE118 cited
  • 2021Well-posedness of distribution dependent SDEs with singular drifts117 cited
  • 2020On the convergence of closed-loop Nash equilibria to the mean field game limit106 cited
  • 2015A semi-Lagrangian scheme for a degenerate second order mean field game system56 cited
  • 2009Stochastic flows of SDEs with irregular coefficients and stochastic transport equations53 cited
  • 2013Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients43 cited
  • 2018Stochastic Hamiltonian flows with singular coefficients38 cited
  • 2010Existence and uniqueness of solutions for Fokker–Planck equations on Hilbert spaces35 cited
  • 2018On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications34 cited
  • 2007Flow of Homeomorphisms and Stochastic Transport Equations30 cited
  • 2010Stochastic differential equations with coefficients in Sobolev spaces30 cited
  • 2022Superposition and mimicking theorems for conditional McKean–Vlasov equations29 cited

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