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Conditional McKean-Vlasov Differential Equations with Common Poissonian Noise: Propagation of Chaos
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A model for the evolution of a large population interacting system is considered in which a marked Poisson processes influences their evolution, together with a Brownian motion. Mean field McKean-Vlasov limits of such system are formulated studying first both systems individually. Letting the population size growing to infinite, the weak convergence of the solutions of such systems is proved; in other words, propagation of chaos of such systems is obtained.
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Cited by 2 Pith papers
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Mean Field Control with Poissonian Common Noise: A Pathwise Compactification Approach
Mean-field control with finite-intensity Poissonian common noise admits optimal relaxed controls, and the same pathwise compactification yields strong mean-field equilibria in games.
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Ergodicity of conditional McKean-Vlasov jump diffusions
Conditional McKean-Vlasov jump diffusions are exponentially contractive in law, and the contraction rate improves as jump noise intensity grows.
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