MCKEAN-VLASOV STOCHASTIC DIFFERENTIAL EQUATIONS

Abstract

This project provides an introduction to McKean–Vlasov Stochastic Differential Equations(MV–SDEs). We discuss existence and uniqueness results on solutions of MV–SDEs. Moment calculations are performed on MV–SDE solution using certain assumptions on the drift and diffusion coefficients of an MV–SDE. We then describe propogation of chaos in case of an MV-SDE.