Rough nonlocal diffusions
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 2619 | |
| dc.contributor.author | Coghi, Michele | |
| dc.contributor.author | Nilssen, Torstein | |
| dc.date.accessioned | 2022-06-23T14:30:45Z | |
| dc.date.available | 2022-06-23T14:30:45Z | |
| dc.date.issued | 2019 | |
| dc.description.abstract | We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To study the equation we build a self-contained framework of non-linear rough integration theory which we use to study McKean-Vlasov equations perturbed by rough paths. We construct an appropriate notion of solution of the corresponding Fokker-Planck equation and prove well-posedness. | eng |
| dc.description.version | publishedVersion | eng |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9203 | |
| dc.identifier.uri | https://doi.org/10.34657/8241 | |
| dc.language.iso | eng | |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
| dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2619 | |
| dc.relation.hasversion | https://doi.org/10.1016/j.spa.2021.07.002 | |
| dc.relation.issn | 2198-5855 | |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | |
| dc.subject.other | Rough paths | eng |
| dc.subject.other | stochastic PDEs | eng |
| dc.subject.other | McKean-Vlasov | eng |
| dc.subject.other | non-local equations | eng |
| dc.title | Rough nonlocal diffusions | eng |
| dc.type | Report | eng |
| dcterms.extent | 58 S. | |
| tib.accessRights | openAccess | |
| wgl.contributor | WIAS | |
| wgl.subject | Mathematik | |
| wgl.type | Report / Forschungsbericht / Arbeitspapier |
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