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Register a new userParameter estimation of path-dependent McKean-Vlasov stochastic differential equations
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The work concerns a class of path-dependent McKean-Vlasov stochastic differential equations with unknown parameters. First, we prove the existence and uniqueness of these equations under non-Lipschitz conditions. Second, we construct maximum likelihood estimators of these parameters and then discuss their strong consistency. Third, a numerical simulation method for the class of path-dependent McKean-Vlasov stochastic differential equations is offered. Moreover, we estimate the errors between solutions of these equations and that of their numerical equations. Finally, we give an example to explain our result.
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The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the connection and the differences between the two sets of problems. We prove a new version of the stochastic maximum principle and give sufficient conditions for existence of an optimal control. We also provide examples for which our sufficient conditions for existence of an optimal solution are satisfied. Finally we show that our solution to the control problem provides approximate equilibria for large stochastic games with mean field interactions.
In this paper, we consider the averaging principle for a class of McKean-Vlasov stochastic differential equations with slow and fast time-scales. Under some proper assumptions on the coefficients, we first prove that the slow component strongly converges to the solution of the corresponding averaged equation with convergence order $1/3$ using the approach of time discretization. Furthermore, under stronger regularity conditions on the coefficients, we use the technique of Poisson equation to improve the order to $1/2$, which is the optimal order of strong convergence in general.
This paper studies the convergence of the tamed Euler-Maruyama (EM) scheme for a class of McKean-Vlasov neutral stochastic differential delay equations (MV-NSDDEs) that the drift coefficients satisfy the super-linear growth condition. We provide the existence and uniqueness of strong solutions to MV-NSDDEs. Then, we use a stochastic particle method, which is based upon the theory of the propagation of chaos between particle system and the original MV-NSDDE, to deal with the approximation of the law. Moreover, we obtain the convergence rate of tamed EM scheme with respect to the corresponding particle system. Combining the result of propagation of chaos and the convergence rate of the numerical solution to the particle system, we get a convergence error between the numerical solution and exact solution of the original MV-NSDDE in the stepsize and number of particles.
We study a class of McKean-Vlasov type stochastic differential equations (SDEs) which arise from the random vortex dynamics and other physics models. By introducing a new approach we resolve the existence and uniqueness of both the weak and strong solutions for the McKean-Vlasov stochastic differential equations whose coefficients are defined in terms of singular integral kernels such as the Biot-Savart kernel. These SDEs which involve the distributions of solutions are in general not Lipschitz continuous with respect to the usual distances on the space of distributions such as the Wasserstein distance. Therefore there is an obstacle in adapting the ordinary SDE method for the study of this class of SDEs, and the conventional methods seem not appropriate for dealing with such distributional SDEs which appear in applications such as fluid mechanics.
In this paper we consider a class of {it conditional McKean-Vlasov SDEs} (CMVSDE for short). Such an SDE can be considered as an extended version of McKean-Vlasov SDEs with common noises, as well as the general version of the so-called {it conditional mean-field SDEs} (CMFSDE) studied previously by the authors [1, 14], but with some fundamental differences. In particular, due to the lack of compactness of the iterated conditional laws, the existing arguments of Schauders fixed point theorem do not seem to apply in this situation, and the heavy nonlinearity on the conditional laws caused by change of probability measure adds more technical subtleties. Under some structure assumptions on the coefficients of the observation equation, we prove the well-posedness of solution in the weak sense along a more direct approach. Our result is the first that deals with McKean-Vlasov type SDEs involving state-dependent conditional laws.
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