Particle representations for a class of nonlinear SPDEs

被引：115

作者：

Kurtz, TG

Xiong, J

机构：

[1] Univ Wisconsin, Dept Math, Madison, WI 53706 USA

[2] Univ Wisconsin, Dept Stat, Madison, WI 53706 USA

[3] Univ Tennessee, Dept Math, Knoxville, TN 37996 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1999年 / 83卷 / 01期

关键词：

stochastic partial differential equations; McKean-Vlasov equations; particle representations; systems of stochastic differential equations; exchangeability;

D O I：

10.1016/S0304-4149(99)00024-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

An infinite system of stochastic differential equations for the locations and weights of a collection of particles is considered. The particles interact through their weighted empirical measure, V. and V is shown to be the unique solution of a nonlinear stochastic partial differential equation (SPDE). Conditions are given under which the weighted empirical measure has an L-2-density with respect to Lebesgue measure, (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：103 / 126

页数：24

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