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DTSTART:19700329T010000
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CATEGORIES:Probability
SUMMARY:Distribution dependent SDEs driven by additive con
tinuous and fractional Brownian noise - Avi Mayorc
as (Cambridge)
DTSTART;TZID=Europe/London:20211026T140000
DTEND;TZID=Europe/London:20211026T150000
UID:TALK163441AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/163441
DESCRIPTION:In this talk I will present some recent joint work
with L. Galeati & F. Harang\, in which we prove a
variety of well-posedness results for McKean—Vlas
ov equations driven by either additive continuous
or fractional Brownian noise. In the former case w
e extend some of the recent results by Coghi\, Deu
schel\, Friz & Maurelli to non-Lipschitz drifts\,
establishing separate criteria for existence and u
niqueness and providing a small extension of known
propagation of chaos results. Since our results i
n this case also apply for zero noise they do cann
ot make use of any regularisation effects\; in con
trast\, for McKean—Vlasov equations driven by fBm
we extend the results of Catellier & Gubinelli for
SDEs driven by fBm to the distribution dependent
setting. We are able to treat McKean—Vlasov equati
ons with singular drifts provided the dynamics are
driven by an additive fBm of suitably low Hurst p
arameter.
LOCATION:MR12 Centre for Mathematical Sciences
CONTACT:HoD Secretary\, DPMMS
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