8 citations · 53 across the 24 of their papers we have counts for
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McKean-Vlasov equations on infinite-dimensional Hilbert spaces with irregular drift and additive fractional noise
Martin Bauer, Thilo Meyer-Brandis
This paper establishes results on the existence and uniqueness of solutions to McKean-Vlasov equations, also called mean-field stochastic differential equations, in an infinite-dim…
Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift
Martin Bauer, Thilo Meyer-Brandis
We analyze multi-dimensional mean-field stochastic differential equations where the drift depends on the law in form of a Lebesgue integral with respect to the pushforward measure…
Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift
Martin Bauer, Thilo Meyer-Brandis
We examine existence and uniqueness of strong solutions of multi-dimensional mean-field stochastic differential equations with irregular drift coefficients. Furthermore, we establi…
Systemic Optimal Risk Transfer Equilibrium
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann's classical notion of an Equilibrium Risk Exchange. We provide…
Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise
David Baños, Martin Bauer, Thilo Meyer-Brandis +1
In this paper we aim at generalizing the results of A. K. Zvonkin and A. Y. Veretennikov on the construction of unique strong solutions of stochastic differential equations with si…