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Central Limit Theorem and Moderate Deviation Principle for McKean-Vlasov SDEs
13 references·1 citing·39 second hop
Central Limit Theorem and Moderate Deviation Principle for McKean-Vlasov SDEs (2021)Central Limit Theorem and Moderate Deviat…Large and Moderate Deviation Principles for McKean-Vlasov SDEs with Jumps (2022)Large and Moderate Deviation …McKean–Vlasov SDEs under measure dependent Lyapunov conditions (2021)McKean–Vlasov SDEs under meas…Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2021)Existence and uniqueness theo…Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs (2020)Space-distribution PDEs for p…Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law (2019)Freidlin–Wentzell LDP in path…Bismut formula for Lions derivative of distribution dependent SDEs and applications (2019)Bismut formula for Lions deri…Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean …Mean-field stochastic differential equations and associated PDEs (2017)Mean-field stochastic differe…Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs (2017)Mean-field forward and backwa…A moderate deviation principle for stochastic Volterra equation (2016)A moderate deviation principl…Large deviations for neutral functional SDEs with jumps (2014)Large deviations for neutral …Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients (2013)Well-posedness and large devi…Large Deviations and the Malliavin Calculus (1984)Large Deviations and the Mall…Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions (2023)Asymptotic behaviors for dist…Mean field games (2007)Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochastic differential equations: A limit approach (2009)Bellman equation and viscosity solutions for mean-field stochastic control problem (2017)The Master Equation and the Convergence Problem in Mean Field Games (2019)A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (2022)Stopping Times and Tightness. II (1989)A Delayed Black and Scholes Formula (2007)Stochastic differential equations and applications (2008)Large deviations for locally monotone stochastic partial differential equations driven by Lévy noise (2018)Large deviation principle for a class of SPDE with locally monotone coefficients (2020)Controlled Diffusion Processes (1980)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equations (2006)On a strong form of propagation of chaos for McKean-Vlasov equations (2018)From nonlinear Fokker–Planck equations to solutions of distribution dependent SDE (2020)Well-posedness of distribution dependent SDEs with singular drifts (2021)Probabilistic Theory of Mean Field Games with Applications II (2018)Simulation of McKean–Vlasov SDEs with super-linear growth (2020)Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients (2021)Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables (2021)Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Distribution dependent SDEs driven by fractional Brownian motions (2022)Existence of strong solutions for Itô's stochastic equations via approximations (1996)Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2022)Linear-Quadratic Mean Field Games (2015)Mean field game of controls and an application to trade crowding (2017)A Machine Learning Framework for Solving High-Dimensional Mean Field Game and Mean Field Control Problems (2019)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)The Malliavin Calculus and Related Topics (2006)Bismut formula for Lions derivative of distribution-path dependent SDEs (2021)Distribution dependent stochastic differential equations (2021)Limit Theorems for Stochastic Processes (1987)Large Deviation Principle for McKean–Vlasov Quasilinear Stochastic Evolution Equations (2021)McKean–Vlasov SDE and SPDE with locally monotone coefficients (2024)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Densities for rough differential equations under Hörmander’s condition (2010)Derivative formulas and gradient estimates for SDEs driven by α -stable processes (2012)
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References

  • 2018Probabilistic Theory of Mean Field Games with Applications I559 cited
  • 1984Large Deviations and the Malliavin Calculus405 cited
  • 2017Mean-field stochastic differential equations and associated PDEs297 cited
  • 2021Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations176 cited
  • 2021McKean–Vlasov SDEs under measure dependent Lyapunov conditions97 cited
  • 2019Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law76 cited
  • 2017Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs69 cited
  • 2019Bismut formula for Lions derivative of distribution dependent SDEs and applications59 cited
  • 2022Large and Moderate Deviation Principles for McKean-Vlasov SDEs with Jumps51 cited
  • 2014Large deviations for neutral functional SDEs with jumps44 cited
  • 2013Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients43 cited
  • 2020Space-distribution PDEs for path independent additive functionals of McKean–Vlasov SDEs29 cited
  • 2016A moderate deviation principle for stochastic Volterra equation19 cited

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  • 2023Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions

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15 cited