42 citations · 97 across the 28 of their papers we have counts for
7 papers · 1 filter
Distribution Dependent Stochastic Differential Equations
Xing Huang, Panpan Ren, Feng-Yu Wang
Due to their intrinsic link with nonlinear Fokker-Planck equations and many other applications, distribution dependent stochastic differential equations (DDSDEs for short) have bee…
Exponential Convergence in Entropy and Wasserstein Distance for McKean-Vlasov SDEs
Panpan Ren, Feng-Yu Wang
The following type exponential convergence is proved for (non-degenerate or degenerate) McKean-Vlasov SDEs: $$W_2(μ_t,μ_\infty)^2 +{\rm Ent}(μ_t|μ_\infty)\le c {\rm e}^{-λt} \min\b…
Distribution-Path Dependent Nonlinear SPDEs with Application to Stochastic Transport Type Equations
Panpan Ren, Hao Tang, Feng-Yu Wang
By using a regularity approximation argument, the global existence and uniqueness are derived for a class of nonlinear SPDEs depending on both the whole history and the distributio…
Milstein schemes and antithetic multilevel Monte Carlo sampling for delay McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs),…
Bismut Formula for Lions Derivative of Distribution-Path Dependent SDEs
Jianhai Bao, Panpan Ren, Feng-Yu Wang
To characterize the regularity of distribution-path dependent SDEs in the initial distribution which varies in the class of probability measures on the path space, we introduce the…
First order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
Jianhai Bao, Christoph Reisinger, Panpan Ren +1
In this paper, we derive fully implementable first order time-stepping schemes for McKean--Vlasov stochastic differential equations (McKean--Vlasov SDEs), allowing for a drift term…
Donsker-Varadhan Large Deviations for Path-Distribution Dependent SPDEs
Panpan Ren, Feng-Yu Wang
As an important tool characterizing the long time behavior of Markov processes, the Donsker-Varadhan LDP (large deviation principle) does not directly apply to distribution depende…