Rahul Sharma (Editor)

McKean–Vlasov process

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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. The equations are a model for Vlasov equation and were first studied by Henry McKean in 1966.

References

McKean–Vlasov process Wikipedia


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