Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
Optimization and Control
2022-04-21 v1 Probability
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 the non-stochastic equations with random coefficients thus making it possible to use the results obtained for nonlinear PDE of McKean-Vlasov type generated by stable-like processes in the 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.
Cite
@article{arxiv.1808.04103,
title = {Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes},
author = {Vassili Kolokoltsov and Marianna Troeva},
journal= {arXiv preprint arXiv:1808.04103},
year = {2022}
}
Comments
arXiv admin note: text overlap with arXiv:1710.10606