6 papers · 1 filter
A non-local singular non-linear Fokker-Planck PDE
Luca Bondi, Elena Issoglio, Francesco Russo
The focus of this paper is a non-local singular non-linear Fokker-Planck partial differential equation (PDE). The peculiarity of this PDE feature is in its divergence coefficient,…
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces
Elena Issoglio, Stefano Pagliarani, Francesco Russo +1
The paper is concerned with a McKean-Vlasov type SDE with drift in anisotropic Besov spaces with negative regularity and with degenerate diffusion matrix under the weak H{ö}rmande…
An Euler scheme for McKean SDEs with Besov drift: convergence rate and implementation
Luis Mario Chaparro Jaquez, Elena Issoglio, Jan Palczewski
We study a one-dimensional McKean-Vlasov stochastic differential equation (SDE) with a drift equal to a product of a distribution depending on the state of the process and a non-li…
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
Luis Mario Chaparro Jáquez, Elena Issoglio, Jan Palczewski
This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function, in particular belonging to the Hölder-Zygmund space …
McKean-Vlasov equations with singular coefficients - a review of recent results
Luca Bondi, Elena Issoglio, Francesco Russo
This paper focuses on recent works on McKean-Vlasov stochastic differential equations (SDEs) involving singular coefficients. After recalling the classical framework, we review exi…
SDEs with singular coefficients: The martingale problem view and the stochastic dynamics view
Elena Issoglio, Francesco Russo
We consider SDEs with (distributional) drift in negative Besov spaces and random initial condition and investigate them from two different viewpoints. In the first part we set up a…