Stability of McKean–Vlasov stochastic differential equations and applications
Stability of McKean–Vlasov stochastic differential equations and applications
We consider McKean–Vlasov stochastic differential equations (MVSDEs), which are SDEs where the drift and diffusion coefficients depend not only on the state of the unknown process but also on its probability distribution. This type of SDEs was studied in statistical physics and represents the natural setting for stochastic mean-field games. …