5 papers
Conditional McKean-Vlasov SDEs with jumps and Markovian regime-switching: wellposedness, propagation of chaos, averaging principle
Jinghai Shao, Taoran Tian, Shen Wang
We investigate the conditional McKean-Vlasov stochastic differential equations with jumps and Markovian regime-switching. We establish the strong wellposedness using L2-Wasser-stei…
Averaging principle for two time-scale stochastic differential equations with fast component in noncompact space
Shen Wang, Jinghai Shao
The asymptotic behavior for fully coupled multiscale stochastic systems becomes much complicated when the fast processes do not locate in a compact space. An example is constructed…
Weak Solution and Invariant Probability Measure for McKean-Vlasov SDEs with Integrable Drifts
Xing Huang, Shen Wang, Fen-Fen Yang
In this paper, by utilizing Wang's Harnack inequality with power and the Banach fixed point theorem, the weak well-posedness for McKean-Vlasov SDEs with integrable drift is investi…
Moderate Deviation Principles for Unbounded Additive Functionals of Distribution Dependent SDEs
Panpan Ren, Shen Wang
By comparing the original equations with the corresponding stationary ones, the moderate deviation principle (MDP) is established for unbounded additive functionals of several diff…
Bernstein type inequalities for self-normalized martingales with applications
Xiequan Fan, Shen Wang
For self-normalized martingales with conditionally symmetric differences, de la Peña [A general class of exponential inequalities for martingales and ratios. Ann. Probab. 27, No.1,…