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Weak solutions of mean-field stochastic differential equations
发布时间:2018-05-09     点击次数:
报告题目: Weak solutions of mean-field stochastic differential equations
报 告 人: 李娟 教授(山东大学)
报告时间: 2018年05月21日 16:30--17:30
报告地点: 理学院东北楼四楼报告厅(404)

报告摘要:

 In this talk we discuss weak solutions of mean-field stochastic differential equations (SDEs), also known as McKean-Vlasov equations, whose drift $b(s, X_s,Q_{X_s})$, and diffusion coefficient $sigma(s, X_s,Q_{X_s})$ depend not only on the state process $X_s$ but also on its law. We suppose that $b$ and $sigma$ are bounded and continuous in the state as well as the probability law; the continuity with respect to the probability law is understood in the sense of the 2-Wasserstein metric. Using the approach through a local martingale problem, we prove the existence and the uniqueness in law of the weak solution of mean-field SDEs. The uniqueness in law is obtained if the associated Cauchy problem possesses for all initial condition $fin C_0^infty({mathbb R}^d)$ a classical solution. However, unlike the classical case, the Cauchy problem is a mean-field PDE as recently studied by Buckdahn, Li, Peng and Rainer (2014). In our approach, we also extend the It^o formula associated with mean-field problems given by Buckdahn, Li, Peng and Rainer (2014) to a more general case of coefficients.

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