WEAK EXISTENCE AND UNIQUENESS FOR MCKEAN–VLASOV SDES WITH COMMON NOISE
WEAK EXISTENCE AND UNIQUENESS FOR MCKEAN–VLASOV SDES WITH COMMON NOISE
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Author / Creator
Publisher
Institute of Mathematical Statistics
Journal title
Language
English
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Publisher
Institute of Mathematical Statistics
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Scope and Contents
Contents
This paper concerns the McKean–Vlasov stochastic differential equation (SDE) with common noise. An appropriate definition of a weak solution to such an equation is developed. The importance of the notion of compatibility in this definition is highlighted by a demonstration of its role in connecting weak solutions to McKean–Vlasov SDEs with common n...
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Full title
WEAK EXISTENCE AND UNIQUENESS FOR MCKEAN–VLASOV SDES WITH COMMON NOISE
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Record Identifier
TN_cdi_crossref_primary_10_1214_20_AOP1454
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1214_20_AOP1454
Other Identifiers
ISSN
0091-1798
E-ISSN
2168-894X
DOI
10.1214/20-AOP1454
