activity
20182025
most citedInverting the Markovian projection, with an application to local stochastic volatility models

4 citations · 6 across the 11 of their papers we have counts for

collaborators
Showing 2020Show all

1 paper · 1 filter

math.PR2020

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…