Special Session 37: Recent development of stochastic optimal control, applications and deep learning methods
Asymptotic behaviors of small perturbation for path-dependent multivalued McKean-Vlasov stochastic differential equations
Huijie Qiao
Southeast University Peoples Rep of China
Co-Author(s): Ying Ma
Abstract:
In this talk I will introduce the asymptotic behavior of path-dependent multivalued McKean-Vlasov stochastic differential equations perturbed by small noise. Specifically, we first establish a large deviation principle for such equations under non-Lipschitz coefficients by the weak convergence approach. Subsequently, we introduce an auxiliary equation and apply it to derive the moderate deviation principle.