9 papers
Explicit numerical approximations for McKean-Vlasov stochastic differential equations in finite and infinite time
Yuanping Cui, Xiaoyue Li, Yi Liu +1
Inspired by the stochastic particle method, this paper establishes an easily implementable explicit numerical method for McKean-Vlasov stochastic differential equations (MV-SDEs) w…
Super and Weak Poincaré Inequalities for Sticky-Reflected Diffusion Processes
Feng-Yu Wang
As a continuation to \cite{MRW} where the Poincaré and log-Sobolev inequalities were studied for the sticky-reflected Brownian motion on Riemannian manifolds with boundary, this p…
Exponential Ergodicity for McKean-Vlasov SDEs with Singular Interactions
Xing Huang, Feng-Yu Wang
Let and consider the -distance $$\|μ-ν\|_{k*}:= \sup\Big\{|μ(f)-ν(f)|:\ f\in\B_b(\R^d),\ \|f\|_{\tt L^k}:=\sup_{x\in \R^d}\|1_{B(x,1)}f\|_{L^k}\le 1\Big\}…
McKean-Vlasov SDEs with Local Distributional Interactions: Well-Posedness and Entropy-Cost Estimates
Xing Huang, Panpan Ren, Feng-Yu Wang
We study McKean-Vlasov SDEs with interaction kernels in $\tt W^{-\dd,k},$ the local negative Sobolev space on with indexes $\dd \in [0,\infty)$ and We der…
Regularity Estimates for Singular Density Dependent SDEs
Feng-Yu Wang, Qiumiao Wen, Fen-Fen Yang
Consider the density dependent (i.e. Nemytskii-type) SDEs on , where the drift is locally integrable in and m…
Bismut Formula and Gradient Estimates for Dirichlet Semigroups with Application to Singular Killed DDSDEs
Feng-Yu Wang, Xiao-Yu Zhao
By establishing a local version of Bismut formula for Dirichlet semigroups on a regular domain, gradient estimates are derived for killed SDEs with singular drifts. As an applicati…