| 词条 | McKean–Vlasov process |
| 释义 |
In probability theory, a McKean–Vlasov process is a stochastic process described by a stochastic differential equation where the coefficients of the diffusion depend on the distribution of the solution itself.[1][2] The equations are a model for Vlasov equation and were first studied by Henry McKean in 1966.[3] References1. ^{{cite journal | url = http://tel.archives-ouvertes.fr/docs/00/65/87/66/PDF/tachet.pdf | title = Non-parametric model calibration in finance: Calibration non paramétrique de modèles en finance | first = Rémi Tachet | last = Des Combes | year = 2011 | deadurl = yes | archiveurl = https://web.archive.org/web/20120511054130/http://tel.archives-ouvertes.fr/docs/00/65/87/66/PDF/tachet.pdf | archivedate = 2012-05-11 | df = }} {{Stochastic processes}}{{DEFAULTSORT:McKean-Vlasov process}}{{probability-stub}}2. ^{{Cite journal | last1 = Funaki | first1 = T. | title = A certain class of diffusion processes associated with nonlinear parabolic equations | doi = 10.1007/BF00535008 | journal = Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete| volume = 67 | issue = 3 | pages = 331–348 | year = 1984 | pmid = | pmc = }} 3. ^{{cite journal |title=A Class of Markov Processes Associated with Nonlinear Parabolic Equations |first=H. P. |last=McKean |authorlink=Henry McKean |journal=Proc. Natl. Acad. Sci. USA |year=1966 |volume=56 |issue=6 |pages=1907–1911 |doi=10.1073/pnas.56.6.1907 |pmid=16591437 |pmc=220210}} 1 : Stochastic differential equations |
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