REGULARITY AND SENSITIVITY FOR MCKEAN-VLASOV TYPE SPDEs GENERATED BY STABLE-LIKE PROCESSES
Journal Title: Проблемы анализа-Issues of Analysis - Year 2018, Vol 7, Issue 2
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.
Authors and Affiliations
V. N. Kolokoltsov, M. S. Troeva
Keywords
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- EP ID EP437236
- DOI 10.15393/j3.art.2018.5250
- Views 93
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