具有不连续扩散系数的平均场随机微分方程

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2023-01-01 DOI:10.3934/puqr.2023016

Jani Nykänen

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引用次数: 0

摘要

我们研究了$ {\mathbb{R}}^d $值的平均场随机微分方程，该方程的扩散系数在过程的$ L_p $范数上以不连续的方式变化。在鲁棒漂移存在的情况下，我们建立了唯一的全局强解的存在性，同时也研究了全局解存在不确定的情况。

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Mean-field stochastic differential equations with a discontinuous diffusion coefficient

We study $ {\mathbb{R}}^d $ -valued mean-field stochastic differential equations with a diffusion coefficient that varies in a discontinuous manner on the $ L_p $ -norm of the process. We establish the existence of a unique global strong solution in the presence of a robust drift, while also investigating scenarios where the presence of a global solution is not assured.

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.