Stability for multivalued McKean-Vlasov stochastic differential equations
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2021
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| Acceso en línea: | |
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| _version_ | 1866917556997062656 |
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| author | Qiao, Huijie Gong, Jun |
| author_facet | Qiao, Huijie Gong, Jun |
| contents | The work concerns multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the existence and uniqueness of strong solutions for multivalued McKean-Vlasov stochastic differential equations with non-Lipschitz coefficients. Then, the classical Itô's formula is extended to that for multivalued McKean-Vlasov stochastic differential equations. Finally, the asymptotic stability of second moments and the almost surely asymptotic stability for their solutions in terms of a Lyapunov function are shown. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2106_12080 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Stability for multivalued McKean-Vlasov stochastic differential equations Qiao, Huijie Gong, Jun Probability 60H10 The work concerns multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the existence and uniqueness of strong solutions for multivalued McKean-Vlasov stochastic differential equations with non-Lipschitz coefficients. Then, the classical Itô's formula is extended to that for multivalued McKean-Vlasov stochastic differential equations. Finally, the asymptotic stability of second moments and the almost surely asymptotic stability for their solutions in terms of a Lyapunov function are shown. |
| title | Stability for multivalued McKean-Vlasov stochastic differential equations |
| topic | Probability 60H10 |
| url | https://arxiv.org/abs/2106.12080 |