Seminar series
Date
Wed, 26 Feb 2025
11:00
11:00
Location
L4
Speaker
Fabio Bugini
Organisation
Technische Universitat Berlin
We present an existence and uniqueness result for nonlinear Fokker--Planck equations driven by rough paths. These equations describe the evolution of the probability distributions associated with McKean--Vlasov stochastic dynamics under (rough) common noise. A key motivation comes from the study of interacting particle systems with common noise, where the empirical measure converges to a solution of such a nonlinear equation.
Our approach combines rough path theory and the stochastic sewing techniques with Lions' differential calculus on Wasserstein spaces.
This is joint work with Peter K. Friz and Wilhelm Stannat.