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Weierstrass Institute for Applied Analysis and Stochastics publication server
Report . 2019
Full-Text: https://doi.org/10.20347/WIAS.PREPRINT.2619
Data sources: Bielefeld Academic Search Engine (BASE)
https://dx.doi.org/10.34657/82...
Report . 2019
Data sources: Datacite
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Rough nonlocal diffusions

descriptionPublicationkeyboard_double_arrow_right Report 01 Jan 2019Embargo end date: 23 Jun 2022 Germany English Publisher:Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Authors: Coghi, Michele; Nilssen, Torstein;

doi: 10.34657/8241

Rough nonlocal diffusions

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.

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Germany
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Keywords

ddc:510, 60H05, Rough paths, 35K55, article, 60H15, Rough paths -- stochastic PDEs -- McKean-Vlasov -- non-local equations, non-local equations, McKean-Vlasov, stochastic PDEs, 510

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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