Work

Convergence to equilibrium for a degenerate McKean–Vlasov equation

Year: 2024

Type: article

Abstract: In this work we study the convergence to equilibrium for a (potentially) degenerate nonlinear and nonlocal McKean–Vlasov equation. We show that the solution to this equation is related to the solution of a linear degenerate and/or defective Fokker–Planck equation and employ recent sharp convergence results to obtain an easily computable (and many times sharp) rates of convergence to equilibrium for the equation in question.

Source: Journal of Mathematical Physics

DOI: 10.1063/5.0170283

Authors: Manh Hong Duong, Amit Einav

Institutions: University of Birmingham, Durham University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Funder: Engineering and Physical Sciences Research Council

Awards: Variational structures, convergence to equilibrium and multiscale analysis for non-Markovian systems, Rigorous coarse-graining of defects at positive temperature, G5442134042, G7433323649