Autor:	Coghi, Michele, Nilssen, Torstein
Rok vydání:	2019
Předmět:	Mathematics - Probability Mathematics - Analysis of PDEs 60H05 60H15 60J60 35K55
Druh dokumentu:	Working Paper
DOI:	10.1016/j.spa.2021.07.002
Popis:	We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To study the equation we build a self-contained framework of non-linear rough integration theory which we use to study McKean-Vlasov equations perturbed by rough paths. We construct an appropriate notion of solution of the corresponding Fokker-Planck equation and prove well-posedness. Comment: 55 pages. Corrected minor typos in version 2
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1905.07270 Zobrazit plný text záznamu View this record from Arxiv