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Singular McKean–Vlasov SDEs: Well-posedness, regularities and Wang’s Harnack inequality
14 references·0 citing·36 second hop
Singular McKean–Vlasov SDEs: Well-posedness, regularities and Wang’s Harnack inequality (2022)Singular McKean–Vlasov SDEs: Well-posedne…Well-posedness of distribution dependent SDEs with singular drifts (2021)Well-posedness of distributio…Distribution dependent stochastic differential equations (2021)Distribution dependent stocha…Mckean-Vlasov sdes with drifts discontinuous under wasserstein distance (2020)Mckean-Vlasov sdes with drift…Lq(Lp) -theory of stochastic differential equations (2020)Lq(Lp) -theory of stochastic …From nonlinear Fokker–Planck equations to solutions of distribution dependent SDE (2020)From nonlinear Fokker–Planck …Strong solutions to stochastic differential equations with rough coefficients (2018)Strong solutions to stochasti…Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean …On a strong form of propagation of chaos for McKean-Vlasov equations (2018)On a strong form of propagati…Distribution dependent SDEs with singular coefficients (2018)Distribution dependent SDEs w…A probabilistic weak formulation of mean field games and applications (2015)A probabilistic weak formulat…Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients (2011)Stochastic Homeomorphism Flow…A study of a class of stochastic differential equations with non-Lipschitzian coefficients (2005)A study of a class of stochas…Strong solutions of stochastic equations with singular time dependent drift (2004)Strong solutions of stochasti…ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)ON STRONG SOLUTIONS AND EXPLI…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)Averaging along irregular curves and regularisation of ODEs (2016)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Stochastic flows and Bismut formulas for stochastic Hamiltonian systems (2010)On the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion with integral-Lipschitz coefficients (2014)Degenerate SDE with Hölder--Dini Drift and Non-Lipschitz Noise Coefficient (2016)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Controlled Diffusion Processes (1980)Strong well posedness of McKean–Vlasov stochastic differential equations with Hölder drift (2019)Ergodicity of stochastic differential equations with jumps and singular coefficients (2020)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Mean field games (2007)A general characterization of the mean field limit for stochastic differential games (2015)On the connection between symmetric $N$-player games and mean field games (2017)A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (2022)On the McKean‐Vlasov Limit for Interacting Diffusions (1988)Brownian Motion and Stochastic Calculus (2007)Simulation of McKean–Vlasov SDEs with super-linear growth (2020)Weak quantitative propagation of chaos via differential calculus on the space of measures (2022)Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients (2007)Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2021)Large and Moderate Deviation Principles for McKean-Vlasov SDEs with Jumps (2022)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)Risk-Sensitive Control on an Infinite Time Horizon (1995)A variational representation for certain functionals of Brownian motion (1998)Ergodic Control of Diffusion Processes (2011)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)Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2022)
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References

  • 2018Probabilistic Theory of Mean Field Games with Applications I494 cited
  • 2004Strong solutions of stochastic equations with singular time dependent drift420 cited
  • 1981ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS394 cited
  • 2015A probabilistic weak formulation of mean field games and applications178 cited
  • 2018Distribution dependent SDEs with singular coefficients143 cited
  • 2005A study of a class of stochastic differential equations with non-Lipschitzian coefficients137 cited
  • 2011Stochastic Homeomorphism Flows of SDEs with Singular Drifts and Sobolev Diffusion Coefficients126 cited
  • 2020From nonlinear Fokker–Planck equations to solutions of distribution dependent SDE118 cited
  • 2021Well-posedness of distribution dependent SDEs with singular drifts117 cited
  • 2018On a strong form of propagation of chaos for McKean-Vlasov equations102 cited
  • 2020Lq(Lp) -theory of stochastic differential equations59 cited
  • 2021Distribution dependent stochastic differential equations59 cited
  • 2020Mckean-Vlasov sdes with drifts discontinuous under wasserstein distance46 cited
  • 2018Strong solutions to stochastic differential equations with rough coefficients24 cited

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