The density evolution of the killed Mckean-Vlasov process
| Autor: | Caines, Peter E., Ho, Daniel, Song, Qingshuo |
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| Rok vydání: | 2018 |
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| Druh dokumentu: | Working Paper |
| Popis: | The study of the density evolution naturally arises in Mean Field Game theory for the estimation of the density of the large population dynamics. In this paper, we study the density evolution of McKean-Vlasov stochastic differential equations in the presence of an absorbing boundary, where the solution to such equations corresponds to the dynamics of partially killed large populations. By using a fixed point theorem, we show that the density evolution is characterized as the unique solution of an integro-differential Fokker-Planck equation with Cauchy-Dirichlet data. Comment: 14 pages |
| Databáze: | arXiv |
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