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Statistical Laboratory

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—Vlasov equations driven by either additive continuous or fractional Brownian noise. In the former case we extend some of the recent results by Coghi, Deuschel, Friz & Maurelli to non-Lipschitz drifts, establishing separate criteria for existence and uniqueness and providing a small extension of known propagation of chaos results. Since our results in this case also apply for zero noise they do cannot make use of any regularisation effects; in contrast, 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 equations with singular drifts provided the dynamics are driven by an additive fBm of suitably low Hurst parameter.

Frontpage talks

Probability

Cambridge Statistics Clinic

Probability

29
Oct
16:00 - 17:00: MARS via LASSO
Statistics

Probability

Further information

Time:

26Oct
Oct 26th 2021
14:00 to 15:00

Venue:

MR12 Centre for Mathematical Sciences

Speaker:

Avi Mayorcas (Cambridge)

Series:

Probability