Particle representations for a class of nonlinear SPDEs

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 L2-density with respect to Lebesgue measure.

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Year of publication:	1999
Authors:	Kurtz, Thomas G. ; Xiong, Jie
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 83.1999, 1, p. 103-126
Publisher:	Elsevier
Keywords:	Stochastic partial differential equations McKean-Vlasov equations Particle representations Systems of stochastic differential equations Exchangeability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875373