Nonlinear Diffusions and Stable-Like Processes with Coefficients Depending on the Median or VaR

被引：0

作者：

Vassili N. Kolokoltsov

机构：

[1] University of Warwick,Department of Statistics

来源：

Applied Mathematics & Optimization | 2013年 / 68卷

关键词：

McKean-Vlasov diffusion; Nonlinear Markov processes; Stable-like processes; Tempered stable processes; Median; Quantile; Value at risk (VaR);

D O I：

暂无

中图分类号：

学科分类号：

摘要：

The paper is devoted to the well-posedness for nonlinear McKean-Vlasov type diffusions with coefficients depending on the median or, more generally, on the α-quantile of the underlying distribution. The median is not a continuous function on the space of probability measures equipped with the weak convergence. This is one reason why well-posedness of the SDE considered in the paper does not follow by standard arguments.

引用

页码：85 / 98

页数：13

共 20 条

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