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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
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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
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\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}
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\elib{https://elibrary.ru/item.asp?id=36744243}
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    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Problemy Analiza — Issues of Analysis
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