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math.PR2022★ 1 cited
Poisson equation on Wasserstein space and diffusion approximations for McKean-Vlasov equation
Yun Li, Fuke Wu, Longjie Xie
We consider the fully-coupled McKean-Vlasov equation with multi-time-scale potentials, and all the coefficients depend on the distributions of both the slow component and the fast…
math.PR2020
On Strong Feller Property, Exponential Ergodicity and Large Deviations Principle for Stochastic Damping Hamiltonian Systems with State-Dependent Switching
Fubao Xi, Chao Zhu, Fuke Wu
This work focuses on a class of stochastic damping Hamiltonian systems with state-dependent switching, where the switching process has a countably infinite state space. After estab…
math.PR2019
Solving A Class of Mean-Field LQG Problems
Yun Li, Qingshuo Song, Fuke Wu +1
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control p…