REGULARITY AND SENSITIVITY FOR MCKEAN-VLASOV TYPE SPDEs GENERATED BY STABLE-LIKE PROCESSES
| Autor: | V. N. Kolokoltsov, M. S. Troeva |
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| Jazyk: | English<br />Russian |
| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | Проблемы анализа, Vol 7(25), Iss 2, Pp 69-81 (2018) |
| Druh dokumentu: | article |
| ISSN: | 2306-3424 2306-3432 |
| DOI: | 10.15393/j3.art.2018.5250 |
| Popis: | 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. |
| Databáze: | Directory of Open Access Journals |
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