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Regularity and sensitivity for Mckean-Vlasov type spdes generated by stable-like processes. / Kolokoltsov, V. N.; Troeva, M. S.

In: Problemy Analiza, Vol. 7, No. 2, 01.01.2018, p. 69-81.

Research output: Contribution to journal › Article › peer-review

Harvard

Kolokoltsov, VN & Troeva, MS 2018, 'Regularity and sensitivity for Mckean-Vlasov type spdes generated by stable-like processes', Problemy Analiza, vol. 7, no. 2, pp. 69-81. https://doi.org/10.15393/j3.art.2018.5250

APA

Kolokoltsov, V. N., & Troeva, M. S. (2018). Regularity and sensitivity for Mckean-Vlasov type spdes generated by stable-like processes. Problemy Analiza, 7(2), 69-81. https://doi.org/10.15393/j3.art.2018.5250

Vancouver

Kolokoltsov VN, Troeva MS. Regularity and sensitivity for Mckean-Vlasov type spdes generated by stable-like processes. Problemy Analiza. 2018 Jan 1;7(2):69-81. https://doi.org/10.15393/j3.art.2018.5250

Author

Kolokoltsov, V. N. ; Troeva, M. S. / Regularity and sensitivity for Mckean-Vlasov type spdes generated by stable-like processes. In: Problemy Analiza. 2018 ; Vol. 7, No. 2. pp. 69-81.

BibTeX

@article{ccdc4867b5ee4d1190f45d6285025c5a,
title = "Regularity and sensitivity for Mckean-Vlasov type spdes generated by stable-like processes",
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, Mean-field games with common noise, Sensitivity, Stable-like processes",
author = "Kolokoltsov, {V. N.} and Troeva, {M. S.}",
year = "2018",
month = jan,
day = "1",
doi = "10.15393/j3.art.2018.5250",
language = "English",
volume = "7",
pages = "69--81",
journal = "Problemy Analiza",
issn = "2306-3424",
publisher = "Petrozavodsk State University",
number = "2",

}

RIS

TY - JOUR

T1 - Regularity and sensitivity for Mckean-Vlasov type spdes generated by stable-like processes

AU - Kolokoltsov, V. N.

AU - Troeva, M. S.

PY - 2018/1/1

Y1 - 2018/1/1

N2 - 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.

AB - 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.

KW - McKean-Vlasov SPDE

KW - Mean-field games with common noise

KW - Sensitivity

KW - Stable-like processes

UR - http://www.scopus.com/inward/record.url?scp=85062529096&partnerID=8YFLogxK

U2 - 10.15393/j3.art.2018.5250

DO - 10.15393/j3.art.2018.5250

M3 - Article

AN - SCOPUS:85062529096

VL - 7

SP - 69

EP - 81

JO - Problemy Analiza

JF - Problemy Analiza

SN - 2306-3424

IS - 2

ER -

ID: 51530328