The Annals of Applied Probability · 2023 · 11 citations · 29 references
Natural SciencesMathematicsPhysicsProbability TheoryStochastic ProcessesTheoretical PhysicsNonlinear DynamicsPerturbation TheoryStatistical MechanicsStochastic Differential EquationsBiot-savart KernelFokker - Planck EquationFokker-planck EquationsFokker-planck TheoryFokker-planck TransportInteracting Particle SystemsStochastic Particle SystemsWeak Coupling Limits
We consider moderately interacting particle systems with singular interaction kernel and environmental noise. It is shown that the mollified empirical measures converge in strong norms to the unique (local) solutions of nonlinear Fokker–Planck equations. The approach works for the Biot–Savart and repulsive Poisson kernels.
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Mean field games with common noise
René Carmona, François Delarue, Daniel Lacker · The Annals of Probability · 2016 · 197 citations