The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker–Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with common noise. The uniqueness of solutions is obtained without any higher moment assumption on the solution by means of a duality argument to a backward stochastic PDE.

Stochastic nonlinear Fokker–Planck equations / Coghi, M.; Gess, B.. - In: NONLINEAR ANALYSIS. - ISSN 0362-546X. - 187:(2019), pp. 259-278. [10.1016/j.na.2019.05.003]

Stochastic nonlinear Fokker–Planck equations

Coghi M.;
2019-01-01

Abstract

The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker–Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with common noise. The uniqueness of solutions is obtained without any higher moment assumption on the solution by means of a duality argument to a backward stochastic PDE.
2019
Coghi, M.; Gess, B.
Stochastic nonlinear Fokker–Planck equations / Coghi, M.; Gess, B.. - In: NONLINEAR ANALYSIS. - ISSN 0362-546X. - 187:(2019), pp. 259-278. [10.1016/j.na.2019.05.003]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11572/320295
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 21
  • ???jsp.display-item.citation.isi??? 20
social impact