Distribution Dependent Stochastic Differential Equations
Wang, Feng-Yu / Ren, Panpan
Corresponding to the link of Itô's stochastic differential equations (SDEs) and linear parabolic equations, distribution dependent SDEs (DDSDEs) characterize nonlinear Fokker-Planck equations. This type of SDEs is named after McKean-Vlasov due to the pioneering work of H P McKean (1966), where an expectation dependent SDE is proposed to characterize nonlinear PDEs for Maxwellian gas. Moreover, by using the propagation of chaos for Kac particle...