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Financial/Actuarial Mathematics Seminar

McKean-Vlasov equations involving hitting times: blow-ups and global solvability
Wednesday, January 19, 2022
4:00-5:00 PM
Zoom Off Campus Location
We study two McKean-Vlasov equations involving hitting times. Let $(B(t); \, t \ge 0)$ be standard Brownian motion, and $\tau:= \inf\{t \ge 0: X(t) \le 0\}$ be the hitting time to zero of a given process $X$. The first equation is $X(t) = X(0) + B(t) - \alpha \mathbb{P}(\tau \le t)$.
We provide a simple condition on $\alpha$ and the distribution of $X(0)$ such that the corresponding Fokker-Planck equation has no blow-up, and thus the McKean-Vlasov dynamics is well-defined for all time $t \ge 0$. We take the PDE approach and develop a new comparison principle.
The second equation is $X(t) = X(0) + \beta t + B(t) + \alpha \log \mathbb{P}(\tau \le t)$, $t \ge 0$, whose Fokker-Planck equation is non-local. We prove that if $\beta,1/\alpha > 0$ are sufficiently large, the McKean-Vlasov dynamics is well-defined for all time $t \ge 0$. The argument is based on a relative entropy analysis.

This is joint work with Erhan Bayraktar, Gaoyue Guo and Wenpin Tang.
Speaker(s): Paul Zhang (UCSD)
Building: Off Campus Location Virtual Workshop / Seminar Mathematics Happening @ Michigan from Department of Mathematics