McKean SDEs with singular coefficients

IF 1.5 Q2 PHYSICS, MATHEMATICAL
Elena Issoglio, F. Russo
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引用次数: 4

Abstract

The paper investigates existence and uniqueness for a stochastic differential equation (SDE) with distributional drift depending on the law density of the solution. Those equations are known as McKean SDEs. The McKean SDE is interpreted in the sense of a suitable singular martingale problem. A key tool used in the investigation is the study of the corresponding Fokker-Planck equation.
具有奇异系数的McKean SDEs
研究了一类随解律密度分布漂移的随机微分方程的存在唯一性。这些方程被称为麦基恩方程。McKean SDE被解释为一个合适的奇异鞅问题。研究中使用的一个关键工具是研究相应的福克-普朗克方程。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
2.30
自引率
0.00%
发文量
16
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