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This paper concerns the McKean-Vlasov stochastic differential equation (SDE) with common noise.
1902
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[author] Kolokoltsov, Vassili N.V. N. and Troeva, MariannaM. (2017). Regularity and sensitivity for McKean-Vlasov SPDEs. AIP Conference Proceedings 1907 030046. 10.1063/1.5012668
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[author] Kolokoltsov, VassiliV. and Troeva, MariannaM. (2018). Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes. Issues of Analysis 25 69-81. 10.15393/j3.art.2018.5250
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[author] Lacker, DanielD. (2014). A general characterization of the mean field limit for stochastic differential games. Probability Theory and Related Fields 165. 10.1007/s00440-015-0641-9
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[author] Ahuja, S.S. (2016). Wellposedness of Mean Field Games with Common Noise under a Weak Monotonicity Condition. SIAM Journal on Control and Optimization 54 30-48. 10.1137/140974730
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[author] Carmona, RenéR., Delarue, FrançoisF. and Lacker, DanielD. (2016). Mean field games with common noise. The Annals of Probability. 10.1214/15-AOP1060
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[author] Cardaliaguet, P.P., Delarue, F.F., Lasry, J. M.J. M. and Lions, P. L.P. L. (2019). The Master Equation and the Convergence Problem in Mean Field Games: (AMS-201). Annals of Mathematics Studies. Princeton University Press
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[author] Delarue, FrançoisF. (2019). Restoring Uniqueness to Mean-Field Games by Randomizing the Equilibria. Stochastics and Partial Differential Equations: Analysis and Computations. 10.1007/s40072-019-00135-9
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[author] Kolokoltsov, Vassili N.V. N. and Troeva, MariannaM. (2019a). On mean field games with common noise and McKean-Vlasov SPDEs. Stochastic Analysis and Applications 37 522-549. 10.1080/07362994.2019.1592690
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[author] Mehri, SimaS. and Stannat, WilhelmW. (2019). Weak solutions to Vlasov–McKean equations under Lyapunov-type conditions. Stochastics and Dynamics
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