McKean–Vlasov process
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In probability theory, a McKean–Vlasov process is a stochastic process described by a stochastic differential equation where the coefficients of the diffusion depend on the distribution of the solution itself.^{[1]}^{[2]} The equations are a model for Vlasov equation and were first studied by Henry McKean in 1966.^{[3]}
References[edit]

^ Des Combes, Rémi Tachet (2011). "Nonparametric model calibration in finance: Calibration non paramétrique de modèles en finance" (PDF). Archived from the original (PDF) on 20120511. Cite journal requires
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(help)  ^ Funaki, T. (1984). "A certain class of diffusion processes associated with nonlinear parabolic equations". Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete. 67 (3): 331–348. doi:10.1007/BF00535008.
 ^ McKean, H. P. (1966). "A Class of Markov Processes Associated with Nonlinear Parabolic Equations". Proc. Natl. Acad. Sci. USA. 56 (6): 1907–1911. doi:10.1073/pnas.56.6.1907. PMC 220210. PMID 16591437.
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