Geodesic
Regularity and sensitivity for McKean--Vlasov type SPDEs generated by stable-like processes
Problemy analiza, Tome 7 (2018) no. 2, pp. 69-81

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In this paper we study the sensitivity of nonlinear stochastic differential equations of McKean–Vlasov type generated by stable-like processes. By using the method of stochastic characteristics, we transfer these equations to non-stochastic equations with random coefficients, thus making it possible to use results obtained for nonlinear PDEs of McKean–Vlasov type generated by stable-like processes in previous works. The motivation for studying sensitivity of nonlinear McKean–Vlasov SPDEs arises naturally from the analysis of the mean-field games with common noise.
Keywords: McKean–Vlasov SPDE, sensitivity, stable-like processes, mean-field games with common noise. 
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     author = {V. N. Kolokoltsov and M. S. Troeva},
     title = {Regularity and sensitivity for {McKean--Vlasov} type {SPDEs} generated by stable-like processes},
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     url = {http://geodesic.mathdoc.fr/item/PA_2018_7_2_a4/}
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V. N. Kolokoltsov; M. S. Troeva. Regularity and sensitivity for McKean--Vlasov type SPDEs generated by stable-like processes. Problemy analiza, Tome 7 (2018) no. 2, pp. 69-81. http://geodesic.mathdoc.fr/item/PA_2018_7_2_a4/