4 papers · 1 filter
Fokker-Planck equations for conditional McKean-Vlasov systems driven by Brownian sheets
Nacira Agram, Bernt Øksendal, Frank Proske +1
We investigate conditional McKean-Vlasov equations driven by time-space white noise, motivated by the propagation of chaos in an N-particle system with space-time Ornstein-Uhlenbec…
A Kalman filter for linear systems driven by time-space Brownian sheet
Nacira Agram, Bernt Øksendal, Frank Proske +1
We study a linear filtering problem where the signal and observation processes are described as solutions of linear stochastic differential equations driven by time-space Brownian…
Fokker-Planck equation for McKean-Vlasov SPDEs driven by time-space Brownian sheet
Nacira Agram, Bernt Oksendal, Frank Proske +1
In this paper, we consider a McKean-Vlasov (mean-field) stochastic partial differential equations (SPDEs) driven by a Brownian sheet. We study the propagation of chaos for a space-…
Long-time behaviors of some stochastic differential equations driven by Lévy noise
I. Orlovskyi, F. Proske, O. Tymoshenko
Using key tools such as Itô formula for general semi-martingales, moments estimates for Lévy-type stochastic integrals and properties of regular varying functions we find condition…