Particle representations for a class of nonlinear SPDEs

Thomas G. Kurtz and Jie Xiong

Stochastic Processes and their Applications, 1999, vol. 83, issue 1, 103-126

Abstract: An infinite system of stochastic differential equations for the locations and weights of a collection of particles is considered. The particles interact through their weighted empirical measure, V, and V is shown to be the unique solution of a nonlinear stochastic partial differential equation (SPDE). Conditions are given under which the weighted empirical measure has an L2-density with respect to Lebesgue measure.

Keywords: Stochastic; partial; differential; equations; McKean-Vlasov; equations; Particle; representations; Systems; of; stochastic; differential; equations; Exchangeability (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (21)

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