SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean–Vlasov SDEs and associated particle systems
16 references·0 citing·42 second hop
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean–Vlasov SDEs and associated particle systems (2025)Wellposedness, exponential ergodicity and…Well-posedness and tamed schemes for McKean–Vlasov equations with common noise (2022)Well-posedness and tamed sche…Well-posedness of distribution dependent SDEs with singular drifts (2021)Well-posedness of distributio…Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables (2021)Strong convergence of Euler–M…First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems (2021)First-order convergence of Mi…Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2021)Existence and uniqueness theo…Distribution dependent stochastic differential equations (2021)Distribution dependent stocha…An adaptive Euler–Maruyama scheme for McKean–Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh–Nagumo model (2021)An adaptive Euler–Maruyama sc…Simulation of McKean–Vlasov SDEs with super-linear growth (2020)Simulation of McKean–Vlasov S…Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions (2020)Propagation of chaos for stoc…From the master equation to mean field game limit theory: a central limit theorem (2019)From the master equation to m…Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law (2019)Freidlin–Wentzell LDP in path…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…Mean field games with common noise (2016)Mean field games with common …Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)Numerical approximations of s…A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)A stochastic particle method …On the uniqueness of solutions of stochastic differential equations (1971)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean field games (2007)Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics (2017)Limit Theory for Controlled McKean--Vlasov Dynamics (2017)The Master Equation and the Convergence Problem in Mean Field Games (2019)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)A note on tamed Euler approximations (2013)Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients (2016)Numerical solution of stochastic differential equations (2016)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochastic differential equations: A limit approach (2009)Mean-field stochastic differential equations and associated PDEs (2017)Controlled Diffusion Processes (1980)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equations (2006)From nonlinear Fokker–Planck equations to solutions of distribution dependent SDE (2020)Probabilistic Theory of Mean Field Games with Applications II (2018)Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients (2021)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)Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness (2019)An Introduction to Mean Field Game Theory (2020)On the McKean‐Vlasov Limit for Interacting Diffusions (1988)Mckean-Vlasov sdes with drifts discontinuous under wasserstein distance (2020)Weak quantitative propagation of chaos via differential calculus on the space of measures (2022)Mass Transportation Problems (1998)Stochastic Integration and Differential Equations (2005)Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)On explicit Milstein-type scheme for McKean–Vlasov stochastic differential equations with super-linear drift coefficient (2021)Limit Theorems for Stochastic Processes (2003)Probabilistic Analysis of Mean-Field Games (2013)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)
this work references cited by second hop

References

  • 2018Probabilistic Theory of Mean Field Games with Applications I559 cited
  • 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients227 cited
  • 2016Mean field games with common noise204 cited
  • 1997A stochastic particle method for the McKean-Vlasov and the Burgers equation203 cited
  • 2021Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations176 cited
  • 2021Well-posedness of distribution dependent SDEs with singular drifts117 cited
  • 2018On a strong form of propagation of chaos for McKean-Vlasov equations102 cited
  • 2019From the master equation to mean field game limit theory: a central limit theorem84 cited
  • 2019Freidlin–Wentzell LDP in path space for McKean–Vlasov equations and the functional iterated logarithm law76 cited
  • 2020Simulation of McKean–Vlasov SDEs with super-linear growth68 cited
  • 2021Distribution dependent stochastic differential equations59 cited
  • 2020Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions52 cited
  • 2021Strong convergence of Euler–Maruyama schemes for McKean–Vlasov stochastic differential equations under local Lipschitz conditions of state variables52 cited
  • 2022Well-posedness and tamed schemes for McKean–Vlasov equations with common noise

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

40 cited
  • 2021First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems40 cited
  • 2021An adaptive Euler–Maruyama scheme for McKean–Vlasov SDEs with super-linear growth and application to the mean-field FitzHugh–Nagumo model39 cited
  • Cited by

    No citing works inside the corpus for this window.