Related papers: Diffusion Approximation for Multi-Scale McKean-Vla…
We propose a novel approach to numerically approximate McKean-Vlasov stochastic differential equations (MV-SDE) using stochastic gradient descent (SGD) while avoiding the use of interacting particle systems (IPS) {and the associated…
This work focuses on the well-posedness of McKean-Vlasov stochastic differential delay equations. Under suitable lipschitz conditions on the drift and diffusion terms, along with a distribution dependent Lyapunov condition, this paper shows…
The solution $\vartheta =(\vartheta_{t})_{t\geq 0}$ of a class of linear stochastic partial differential equations is approximated using Clark's robust representation approach (\cite{c}, \cite{cc}). The ensuing approximations are shown to…
In this paper, we prove a large deviation principle for the empirical measures of a system of weakly interacting diffusion with reflection. We adopt the weak convergence approach. To make this approach work, we show that the sequence of…
We establish a novel convergent iteration framework for a weak approximation of general switching diffusion. The key theoretical basis of the proposed approach is a restriction of the maximum number of switching so as to untangle and…
We provide an explicit rigorous derivation of a diffusion limit - a stochastic differential equation with additive noise - from a deterministic skew-product flow. This flow is assumed to exhibit time-scale separation and has the form of a…
We study the numerical approximation of advection-diffusion equations with highly oscillatory coefficients and possibly dominant advection terms by means of the Multiscale Finite Element Method. The latter method is a now classical, finite…
The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it…
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…
This note adapts a probabilistic approach to establish a quantified estimate of the overdamped limit for the Vlasov-Fokker-Planck equation towards the aggregation-diffusion equation, which in particular includes cases of the Newtonian type…
We consider Mc Kean-Vlasov stochastic differential equations (MVSDEs), which are SDEs where the drift and diffusion coefficients depend not only on the state of the unknown process but also on its probability distribution. This type of SDEs…
In this paper, we develop a general methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process. As an extension of the technique developed by Bass \&…
McKean-Vlasov stochastic differential equations (MVSDEs) describe systems whose dynamics depend on both individual states and the population distribution, and they arise widely in neuroscience, finance, and epidemiology. In many…
In this paper, we investigate the construction of a diffusion process whose time-marginal densities are constrained to belong to a given set at all time. The construction is obtained from a penalization approximation to the constraint set,…
Diffusion processes have been widely used for approximations in the queueing theory. There are different types of diffusion approximations. Among them, we are interested in those obtained through limits of a sequence of models which…
We study a fully-coupled system of conditional slow-fast McKean-Vlasov Stochastic Differential Equations that exhibit full dependence on both the slow and fast components, as well as on the conditional law of the slow component. Our aim is…
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation of McKean-Vlasov type. It has both (i) a local chain…
The main aim of this paper is to study the moderate deviation principle for McKean-Vlasov stochastic differential equations with multiple scales. Specifically, we are interested in the asymptotic estimates of the deviation processes…
It is known that when the diffuse interface thickness $\epsilon$ vanishes, the sharp interface limit of the stochastic reaction-diffusion equation is formally a stochastic geometric flow. To capture and simulate such geometric flow, it is…
In this paper, we study well-posedness of McKean-Vlasov stochastic differential equations (SDE) whose drift depends pointwisely on marginal density and satisfies a local integrability condition in time-space variables. The drift and noise…