REVIEW 1 cited by
Sensitivity of functionals of McKean-Vlasov SDE's with respect to the initial distribution
Not yet reviewed by Pith; the record is open.
This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.
SPECIMEN: schema-true, not a live event
T0 review · schema-true
One-sentence machine reading of the paper's core claim.
pith:XXXXXXXX · record.json · timestamp
read the original abstract
We examine the sensitivity at the origin of the distributional robust optimization problem in the context of a model generated by a mean field stochastic differential equation. We adapt the finite dimensional argument developed by Bartl, Drapeau, Obloj \& Wiesel to our framework involving the infinite dimensional gradient of the solution of the mean field SDE with respect to its initial data. We revisit the derivation of this gradient process as previously introduced by Buckdahn, Li \& Peng, and we complement the existing properties so as to satisfy the requirement of our main result.
Forward citations
Cited by 1 Pith paper
-
Optimal Control of Heterogeneous Mean-Field Stochastic Differential Equations with Common Noise and Applications
An LQ control framework for heterogeneous mean-field SDEs with common noise, solved through a triangular system of Hilbert-space Riccati BSDEs.
Discussion (0). Continue with ORCID to comment.