Martha Nansubuga (HU Berlin)

2022/06/17, 13:00

Before the von Mises lecture by Prof. Christoph Reisinger

Before the von Mises lecture by Prof. Christoph Reisinger

HU Berlin (campus Adlershof), Johann-von-Neumann-Haus, Rudower Chaussee 25, Room 1.013 (directions)

A McKean-Vlasov process is a stochastic process described by a stochastic differential equation where the coefficients depend on the distribution of the process itself. The story of these processes started with a stochastic toy model for the Vlasov equation of plasma proposed by Mark Kac in his paper "Foundations of kinetic theory (1956)". They have been applied in several areas like physics, finance, social interactions and extra. In order to understand McKean-Vlasov processes, I will give a brief introduction to stochastic differential equations, too.