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Paper detail

Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes

In this paper we study the sensitivity of nonlinear stochastic differential equations of McKean-Vlasov type generated by stable-like processes. By using the method of stochastic characteristics, we transfer these equations to the non-stochastic equations with random coefficients thus making it possible to use the results obtained for nonlinear PDE of McKean-Vlasov type generated by stable-like processes in the previous works. The motivation for studying sensitivity of nonlinear McKean-Vlasov SPDEs arises naturally from the analysis of the mean-field games with common noise.

preprint2018arXivOpen access
Vassili KolokoltsovMarianna Troeva
math.OCmath.PR
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Vassili KolokoltsovMarianna Troeva

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