Problemy Analiza — Issues of Analysis
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Probl. Anal. Issues Anal.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Problemy Analiza — Issues of Analysis, 2018, Volume 7(25), Issue 2, Pages 69–81
DOI: https://doi.org/10.15393/j3.art.2018.5250 (Mi pa248) 		 
This article is cited in 4 scientific papers (total in 4 papers)

Regularity and sensitivity for McKean–Vlasov type SPDEs generated by stable-like processes

V. N. Kolokoltsovabc, M. S. Troevad

a Department of Statistics, University of Warwick, Coventry CV4 7AL UK
b Faculty of Applied Mathematics and Control Processes, Saint-Petersburg State University, Saint Petersburg, Russia
c Institute of Informatics Problems, Federal Research Center “Computer Science and Control”, RAS, Moscow, Russia
d Research Institute of Mathematics, North-Eastern Federal University, 58 Belinskogo str., Yakutsk 677000, Russia
Full-text PDF (480 kB) Citations (4)
References:
PDF
HTML
DOI: https://doi.org/10.15393/j3.art.2018.5250
Abstract: In this paper we study the sensitivity of nonlinear stochastic differential equations of McKean–Vlasov type generated by stable-like processes. By using the method of stochastic characteristics, we transfer these equations to non-stochastic equations with random coefficients, thus making it possible to use results obtained for nonlinear PDEs of McKean–Vlasov type generated by stable-like processes in previous works. The motivation for studying sensitivity of nonlinear McKean–Vlasov SPDEs arises naturally from the analysis of the mean-field games with common noise.
Keywords: McKean–Vlasov SPDE, sensitivity, stable-like processes, mean-field games with common noise.
Funding agency
The second author’s work is supported by the Ministry of Science and Higher Education of the Russian Federation (Grant 1.6069.2017/8.9)
Received: 24.08.2018
Revised: 09.12.2018
Accepted: 11.12.2018
Bibliographic databases:
Document Type: Article
UDC: 517.955, 519.217
MSC: 60H15, 35R60, 91A15, 82C22
Language: English
Citation: V. N. Kolokoltsov, M. S. Troeva, “Regularity and sensitivity for McKean–Vlasov type SPDEs generated by stable-like processes”, Probl. Anal. Issues Anal., 7(25):2 (2018), 69–81
Citation in format AMSBIB
\Bibitem{KolTro18}
\by V.~N.~Kolokoltsov, M.~S.~Troeva
\paper Regularity and sensitivity for McKean--Vlasov type SPDEs generated by stable-like processes
\jour Probl. Anal. Issues Anal.
\yr 2018
\vol 7(25)
\issue 2
\pages 69--81
\mathnet{http://mi.mathnet.ru/pa248}
\crossref{https://doi.org/10.15393/j3.art.2018.5250}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000454220100005}
\elib{https://elibrary.ru/item.asp?id=36744243}
Linking options:
  • https://www.mathnet.ru/eng/pa248
  • https://www.mathnet.ru/eng/pa/v25/i2/p69
    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Problemy Analiza — Issues of Analysis
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024