Well-posedness and tamed schemes for McKean–Vlasov equations with common noise

Author:

Kumar Chaman1,Neelima 2,Reisinger Christoph3,Stockinger Wolfgang3

Affiliation:

1. Department of Mathematics, Indian Institute of Technology Roorkee

2. Department of Mathematics, Ramjas College, University of Delhi

3. Mathematical Institute, University of Oxford

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference42 articles.

1. AMBROSIO, L., GIGLI, N. and SAVARÉ, G. (2008). Gradient Flows in Metric Spaces and in the Space of Probability Measures, 2nd ed. Lectures in Mathematics ETH Zürich. Birkhäuser, Basel.

2. MEHRI, S., SCHEUTZOW, M., STANNAT, W. and ZANGENEH, B. Z. (2020). Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions. Ann. Appl. Probab. 30 175–207.

3. HAMMERSLEY, W. R. P., ŠIŠKA, D. and SZPRUCH, Ł. (2021). McKean–Vlasov SDEs under measure dependent Lyapunov conditions. Ann. Inst. Henri Poincaré Probab. Stat. 57 1032–1057.

4. WANG, F.-Y. (2018). Distribution dependent SDEs for Landau type equations. Stochastic Process. Appl. 128 595–621.

5. ADAMS, D., DOS REIS, G., RAVAILLE, R., SALKELD, W. and TUGAUT, J. (2020). Large deviations and exit-times for reflected McKean–Vlasov equations with self-stabilizing terms and superlinear drifts. Preprint. Available at arXiv:2005.10057.

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