Related papers: The Donsker delta function and local time for McKe…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
Periodic measures are the time-periodic counterpart to invariant measures for dynamical systems and can be used to characterise the long-term periodic behaviour of stochastic systems. This paper gives sufficient conditions for the…
We investigate the space-time regularity of the local time associated to Volterra-L\'evy processes, including Volterra processes driven by $\alpha$-stable processes for $\alpha\in(0,2]$. We show that the spatial regularity of the local time…
New kind of differential equations, called local fractional differential equations, has been proposed for the first time. They involve local fractional derivatives introduced recently. Such equations appear to be suitable to deal with…
We study the time regularity of local weak solutions of the heat equation in the context of local regular symmetric Dirichlet spaces. Under two basic and rather minimal assumptions, namely, the existence of certain cut-off functions and a…
In this paper, we consider a class of Mckean-Vlasov stochastic differential equation with oblique reflection over an non-smooth time dependent domain. We establish the existence and uniqueness results of this class, address the propagation…
The existence of a weak solution to a McKean-Vlasov type stochastic differential system corresponding to the Enskog equation of the kinetic theory of gases is established under natural conditions. The distribution of any solution to the…
In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where the random periodic behaviour is characterised by the…
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…
In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle…
Following our previous work [68], this paper continues to investigate the evolution dynamics of local times of spectrally positive L\'evy processes with Gaussian components in the spatial direction. We prove that conditioned on the…
We study a new class of McKean-Vlasov stochastic differential equations (SDEs), possibly with common noise, applying the theory of time-inhomogeneous polynomial processes. The drift and volatility coefficients of these SDEs depend on the…
In this article, existence of the $k$-th order derivatives of local time $ \widehat{\alpha}^{(k)}(x,t)$ is considered for two d-dimensional fractional Ornstein-Uhlenbeck processes $X^{H_1}_t$ and $\widetilde{X}^{H_2}_s$ with Hurst…
This work is concerned with the existence of mild solutions and the uniqueness of distributional solutions to nonlinear Fokker-Planck equations with nonlocal operators $\Psi(-\Delta)$, where $\Psi$ is a Bernstein function. As applications,…
We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to…
Inspired by the stochastic particle method, this paper establishes an easily implementable explicit numerical method for McKean-Vlasov stochastic differential equations (MV-SDEs) with superlinear growth coefficients. The paper establishes…
In this paper, we study the entrance measures of time-inhomogeneous McKean-Vlasov SDEs. The existence is obtained in great generality, where the system can be expanding globally and/or degenerate for numerous number of time intervals. When…
We present a new time-dependent Density Functional approach to study the relaxational dynamics of an assembly of interacting particles subject to thermal noise. Starting from the Langevin stochastic equations of motion for the velocities of…
We study the local asymptotic normality (LAN) property for the likelihood function associated with discretely observed $d$-dimensional McKean-Vlasov stochastic differential equations over a fixed time interval. The model involves a joint…
This paper examines the existence of the self-intersection local time for a superprocess over a stochastic flow in dimensions $d\leq3$, which through constructive methods, results in a Tanaka-like representation. The superprocess over a…