Applied Mathematics and Optimization, Vol.68, No.1, 85-98, 2013
Nonlinear Diffusions and Stable-Like Processes with Coefficients Depending on the Median or VaR
The paper is devoted to the well-posedness for nonlinear McKean-Vlasov type diffusions with coefficients depending on the median or, more generally, on the alpha-quantile of the underlying distribution. The median is not a continuous function on the space of probability measures equipped with the weak convergence. This is one reason why well-posedness of the SDE considered in the paper does not follow by standard arguments.
Keywords:McKean-Vlasov diffusion;Nonlinear Markov processes;Stable-like processes;Tempered stable processes;Median;Quantile;Value at risk (VaR)