McKean–Vlasov process

In probability theory, a McKean–Vlasov process is a stochastic process described by a stochastic differential equation where the coefficients of the diffusion depend on the distribution of the solution itself.[1][2] The equations are a model for Vlasov equation and were first studied by Henry McKean in 1966.[3]

References

  1. ↑ Des Combes, RĂ©mi Tachet (2011). "Non-parametric model calibration in ïŹnance: Calibration non paramĂ©trique de modĂšles en ïŹnance" (PDF).
  2. ↑ Funaki, T. (1984). "A certain class of diffusion processes associated with nonlinear parabolic equations". Zeitschrift fĂŒr Wahrscheinlichkeitstheorie und Verwandte Gebiete. 67 (3): 331–348. doi:10.1007/BF00535008.
  3. ↑ McKean, H. P. (1966). "A Class of Markov Processes Associated with Nonlinear Parabolic Equations". Proc. Natl. Acad. Sci. USA. 56 (6): 1907–1911. PMC 220210 Freely accessible. PMID 16591437. doi:10.1073/pnas.56.6.1907.
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