4 citations · 5 across the 5 of their papers we have counts for
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Superposition and mimicking theorems for conditional McKean-Vlasov equations
Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang
We consider conditional McKean-Vlasov stochastic differential equations (SDEs), such as the ones arising in the large-system limit of mean field games and particle systems with mea…
Inverting the Markovian projection, with an application to local stochastic volatility models
Daniel Lacker, Mykhaylo Shkolnikov, Jiacheng Zhang
We study two-dimensional stochastic differential equations (SDEs) of McKean--Vlasov type in which the conditional distribution of the second component of the solution given the fir…
Dynamics of observables in rank-based models and performance of functionally generated portfolios
Sergio A. Almada Monter, Mykhaylo Shkolnikov, Jiacheng Zhang
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite t…