The paper is devoted to the well-posedness for nonlinear McKean-Vlasov type diffusions with coefficients depending on the median or, more generally, on the α-quantile of the underlying distribution. The median is not a continuous function on the space of probability measures equipped with the weak convergence. This is one reason why well-posedness of the SDE considered in the paper does not follow by standard arguments.

Original languageEnglish
Pages (from-to)85-98
Number of pages14
JournalApplied Mathematics and Optimization
Volume68
Issue number1
DOIs
StatePublished - Aug 2013

    Research areas

  • McKean-Vlasov diffusion, Median, Nonlinear Markov processes, Quantile, Stable-like processes, Tempered stable processes, Value at risk (VaR)

    Scopus subject areas

  • Control and Optimization
  • Applied Mathematics

ID: 86493548