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math.PR2023
Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod's J1 and M1 Topologies
Andreas Sojmark, Fabrice Wunderlich
We provide criteria for Itô integration to behave continuously with respect to Skorokhod's J1 and M1 topologies, when the integrands and integrators converge weakly or in probabili…
math.PR2023★ 2 cited
Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +2
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback.…