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<button class="vector-pinnable-header-toggle-button vector-pinnable-header-unpin-button" data-event-name="pinnable-header.vector-appearance.unpin">hide</button> </div> </div> </div> </nav> </div> </div> <div id="bodyContent" class="vector-body" aria-labelledby="firstHeading" data-mw-ve-target-container> <div class="vector-body-before-content"> <div class="mw-indicators"> </div> <div id="siteSub" class="noprint">From Wikipedia, the free encyclopedia</div> </div> <div id="contentSub"><div id="mw-content-subtitle"></div></div> <div id="mw-content-text" class="mw-body-content"><div class="mw-content-ltr mw-parser-output" lang="en" dir="ltr"><div class="shortdescription nomobile noexcerpt noprint searchaux" style="display:none">Stochastic diffusion process in probability theory</div> <p>In <a href="/wiki/Probability_theory" title="Probability theory">probability theory</a>, a <b>McKean–Vlasov process</b> is a <a href="/wiki/Stochastic_process" title="Stochastic process">stochastic process</a> described by a <a href="/wiki/Stochastic_differential_equation" title="Stochastic differential equation">stochastic differential equation</a> where the coefficients of the <a href="/wiki/Diffusion_equation" title="Diffusion equation">diffusion</a> depend on the distribution of the solution itself.<sup id="cite_ref-1" class="reference"><a href="#cite_note-1"><span class="cite-bracket">[</span>1<span class="cite-bracket">]</span></a></sup><sup id="cite_ref-2" class="reference"><a href="#cite_note-2"><span class="cite-bracket">[</span>2<span class="cite-bracket">]</span></a></sup> The equations are a model for <a href="/wiki/Vlasov_equation" title="Vlasov equation">Vlasov equation</a> and were first studied by <a href="/wiki/Henry_McKean" title="Henry McKean">Henry McKean</a> in 1966.<sup id="cite_ref-:0_3-0" class="reference"><a href="#cite_note-:0-3"><span class="cite-bracket">[</span>3<span class="cite-bracket">]</span></a></sup> It is an example of <b>propagation of chaos</b>, in that it can be obtained as a limit of a mean-field system of interacting particles: as the number of particles tends to infinity, the interactions between any single particle and the rest of the pool will only depend on the particle itself.<sup id="cite_ref-:3_4-0" class="reference"><a href="#cite_note-:3-4"><span class="cite-bracket">[</span>4<span class="cite-bracket">]</span></a></sup> </p> <meta property="mw:PageProp/toc" /> <div class="mw-heading mw-heading2"><h2 id="Definition">Definition</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=McKean%E2%80%93Vlasov_process&action=edit&section=1" title="Edit section: Definition"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>Consider a measurable function <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \sigma :\mathbb {R} ^{d}\times {\mathcal {P}}(\mathbb {R} ^{d})\to {\mathcal {M}}_{d}(\mathbb {R} )}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>σ</mi> <mo>:</mo> <msup> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msup> <mo>×</mo> <mrow class="MJX-TeXAtom-ORD"> <mrow class="MJX-TeXAtom-ORD"> <mi class="MJX-tex-caligraphic" mathvariant="script">P</mi> </mrow> </mrow> <mo stretchy="false">(</mo> <msup> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msup> <mo stretchy="false">)</mo> <mo stretchy="false">→</mo> <msub> <mrow class="MJX-TeXAtom-ORD"> <mrow class="MJX-TeXAtom-ORD"> <mi class="MJX-tex-caligraphic" mathvariant="script">M</mi> </mrow> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msub> <mo stretchy="false">(</mo> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \sigma :\mathbb {R} ^{d}\times {\mathcal {P}}(\mathbb {R} ^{d})\to {\mathcal {M}}_{d}(\mathbb {R} )}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/42d135462f754920be10a9a501cc304b54ffcb33" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:26.144ex; height:3.176ex;" alt="{\displaystyle \sigma :\mathbb {R} ^{d}\times {\mathcal {P}}(\mathbb {R} ^{d})\to {\mathcal {M}}_{d}(\mathbb {R} )}"></span> where <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle {\mathcal {P}}(\mathbb {R} ^{d})}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mrow class="MJX-TeXAtom-ORD"> <mrow class="MJX-TeXAtom-ORD"> <mi class="MJX-tex-caligraphic" mathvariant="script">P</mi> </mrow> </mrow> <mo stretchy="false">(</mo> <msup> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msup> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle {\mathcal {P}}(\mathbb {R} ^{d})}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/eebb1cf604c1ebf901e6c9997cf6405693e4689f" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:6.283ex; height:3.176ex;" alt="{\displaystyle {\mathcal {P}}(\mathbb {R} ^{d})}"></span> is the space of <a href="/wiki/Probability_distribution" title="Probability distribution">probability distributions</a> on <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \mathbb {R} ^{d}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msup> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msup> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \mathbb {R} ^{d}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/a713426956296f1668fce772df3c60b9dde8a685" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:2.77ex; height:2.676ex;" alt="{\displaystyle \mathbb {R} ^{d}}"></span> equipped with the <a href="/wiki/Wasserstein_metric" title="Wasserstein metric">Wasserstein metric</a> <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle W_{2}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>W</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>2</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle W_{2}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/421467fcab2af38ddf3977b9adf66de8ef3abd57" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:3.248ex; height:2.509ex;" alt="{\displaystyle W_{2}}"></span> and <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle {\mathcal {M}}_{d}(\mathbb {R} )}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mrow class="MJX-TeXAtom-ORD"> <mrow class="MJX-TeXAtom-ORD"> <mi class="MJX-tex-caligraphic" mathvariant="script">M</mi> </mrow> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msub> <mo stretchy="false">(</mo> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle {\mathcal {M}}_{d}(\mathbb {R} )}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/7a34ab1b60e1ce2fc1b3c0476f4ecdae54802545" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:7.37ex; height:2.843ex;" alt="{\displaystyle {\mathcal {M}}_{d}(\mathbb {R} )}"></span> is the space of <a href="/wiki/Matrix_(mathematics)" title="Matrix (mathematics)">square matrices</a> of dimension <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle d}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>d</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle d}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/e85ff03cbe0c7341af6b982e47e9f90d235c66ab" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:1.216ex; height:2.176ex;" alt="{\displaystyle d}"></span>. Consider a measurable function <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle b:\mathbb {R} ^{d}\times {\mathcal {P}}(\mathbb {R} ^{d})\to \mathbb {R} ^{d}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>b</mi> <mo>:</mo> <msup> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msup> <mo>×</mo> <mrow class="MJX-TeXAtom-ORD"> <mrow class="MJX-TeXAtom-ORD"> <mi class="MJX-tex-caligraphic" mathvariant="script">P</mi> </mrow> </mrow> <mo stretchy="false">(</mo> <msup> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msup> <mo stretchy="false">)</mo> <mo stretchy="false">→</mo> <msup> <mrow class="MJX-TeXAtom-ORD"> <mi mathvariant="double-struck">R</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </msup> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle b:\mathbb {R} ^{d}\times {\mathcal {P}}(\mathbb {R} ^{d})\to \mathbb {R} ^{d}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/e3556bf07e464d8e7a3cc2e97c2b344e9b55fc52" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:21.212ex; height:3.176ex;" alt="{\displaystyle b:\mathbb {R} ^{d}\times {\mathcal {P}}(\mathbb {R} ^{d})\to \mathbb {R} ^{d}}"></span>. Define <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle a(x,\mu ):=\sigma (x,\mu )\sigma (x,\mu )^{T}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>a</mi> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <mi>μ</mi> <mo stretchy="false">)</mo> <mo>:=</mo> <mi>σ</mi> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <mi>μ</mi> <mo stretchy="false">)</mo> <mi>σ</mi> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <mi>μ</mi> <msup> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mi>T</mi> </mrow> </msup> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle a(x,\mu ):=\sigma (x,\mu )\sigma (x,\mu )^{T}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/84091a47e3cd9e7c8dea5d651493c3735721b087" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:25.748ex; height:3.176ex;" alt="{\displaystyle a(x,\mu ):=\sigma (x,\mu )\sigma (x,\mu )^{T}}"></span>. </p><p>A stochastic process <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle (X_{t})_{t\geq 0}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mo stretchy="false">(</mo> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <msub> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> <mo>≥</mo> <mn>0</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle (X_{t})_{t\geq 0}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/21296940fbeeae13b27893bdb77c0ae6a02ad23f" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:7.486ex; height:2.843ex;" alt="{\displaystyle (X_{t})_{t\geq 0}}"></span> is a McKean–Vlasov process if it solves the following system:<sup id="cite_ref-:0_3-1" class="reference"><a href="#cite_note-:0-3"><span class="cite-bracket">[</span>3<span class="cite-bracket">]</span></a></sup><sup id="cite_ref-:1_5-0" class="reference"><a href="#cite_note-:1-5"><span class="cite-bracket">[</span>5<span class="cite-bracket">]</span></a></sup> </p> <ul><li><span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle X_{0}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>0</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle X_{0}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/6381fdad2b9f11954b1fc2db08bbaccf634ededa" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:2.979ex; height:2.509ex;" alt="{\displaystyle X_{0}}"></span> has law <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle f_{0}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>f</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>0</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle f_{0}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/6423b30a4c5770c59b5ab92dcb4ce378755440ab" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:2.193ex; height:2.509ex;" alt="{\displaystyle f_{0}}"></span></li> <li><span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle dX_{t}=\sigma (X_{t},\mu _{t})dB_{t}+b(X_{t},\mu _{t})dt}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>d</mi> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo>=</mo> <mi>σ</mi> <mo stretchy="false">(</mo> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo>,</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo stretchy="false">)</mo> <mi>d</mi> <msub> <mi>B</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo>+</mo> <mi>b</mi> <mo stretchy="false">(</mo> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo>,</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo stretchy="false">)</mo> <mi>d</mi> <mi>t</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle dX_{t}=\sigma (X_{t},\mu _{t})dB_{t}+b(X_{t},\mu _{t})dt}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/d2d15e1d716f3870ab5b872834335bfc2275f4fa" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:33.736ex; height:2.843ex;" alt="{\displaystyle dX_{t}=\sigma (X_{t},\mu _{t})dB_{t}+b(X_{t},\mu _{t})dt}"></span></li></ul> <p>where <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \mu _{t}={\mathcal {L}}(X_{t})}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo>=</mo> <mrow class="MJX-TeXAtom-ORD"> <mrow class="MJX-TeXAtom-ORD"> <mi class="MJX-tex-caligraphic" mathvariant="script">L</mi> </mrow> </mrow> <mo stretchy="false">(</mo> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \mu _{t}={\mathcal {L}}(X_{t})}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/d1328425eb33be3a9aedbcd330d95abb0443b9c6" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:11.489ex; height:2.843ex;" alt="{\displaystyle \mu _{t}={\mathcal {L}}(X_{t})}"></span> describes the <a href="/wiki/Law_(stochastic_processes)" class="mw-redirect" title="Law (stochastic processes)">law</a> of <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle X}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>X</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle X}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/68baa052181f707c662844a465bfeeb135e82bab" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:1.98ex; height:2.176ex;" alt="{\displaystyle X}"></span> and <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle B_{t}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>B</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle B_{t}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/4f92553a3c8585519e540724dffe9306c83ca2f8" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:2.59ex; height:2.509ex;" alt="{\displaystyle B_{t}}"></span> denotes a <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle d}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>d</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle d}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/e85ff03cbe0c7341af6b982e47e9f90d235c66ab" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:1.216ex; height:2.176ex;" alt="{\displaystyle d}"></span>-dimensional <a href="/wiki/Wiener_process" title="Wiener process">Wiener process</a>. This process is non-linear, in the sense that the associated <a href="/wiki/Fokker-Planck_equation" class="mw-redirect" title="Fokker-Planck equation">Fokker-Planck equation</a> for <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \mu _{t}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \mu _{t}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/d8247e7beb0b3fa21c4fe35defef3a3cf93df67d" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:2.228ex; height:2.176ex;" alt="{\displaystyle \mu _{t}}"></span> is a non-linear <a href="/wiki/Partial_differential_equation" title="Partial differential equation">partial differential equation</a>.<sup id="cite_ref-:1_5-1" class="reference"><a href="#cite_note-:1-5"><span class="cite-bracket">[</span>5<span class="cite-bracket">]</span></a></sup><sup id="cite_ref-:2_6-0" class="reference"><a href="#cite_note-:2-6"><span class="cite-bracket">[</span>6<span class="cite-bracket">]</span></a></sup> </p> <div class="mw-heading mw-heading2"><h2 id="Existence_of_a_solution">Existence of a solution</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=McKean%E2%80%93Vlasov_process&action=edit&section=2" title="Edit section: Existence of a solution"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>The following Theorem can be found in.<sup id="cite_ref-:3_4-1" class="reference"><a href="#cite_note-:3-4"><span class="cite-bracket">[</span>4<span class="cite-bracket">]</span></a></sup> </p> <style data-mw-deduplicate="TemplateStyles:r1110004140">.mw-parser-output .math_theorem{margin:1em 2em;padding:0.5em 1em 0.4em;border:1px solid #aaa;overflow:hidden}@media(max-width:500px){.mw-parser-output .math_theorem{margin:1em 0em;padding:0.5em 0.5em 0.4em}}</style><div class="math_theorem" style=""> <p><strong class="theorem-name">Existence of a solution</strong><span class="theoreme-tiret"> — </span>Suppose <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle b}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>b</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle b}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/f11423fbb2e967f986e36804a8ae4271734917c3" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:0.998ex; height:2.176ex;" alt="{\displaystyle b}"></span> and <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \sigma }"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>σ</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \sigma }</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/59f59b7c3e6fdb1d0365a494b81fb9a696138c36" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:1.33ex; height:1.676ex;" alt="{\displaystyle \sigma }"></span> are <a href="/wiki/Lipschitz_continuity" title="Lipschitz continuity">globally Lipschitz</a>, that is, there exists a constant <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle C>0}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>C</mi> <mo>></mo> <mn>0</mn> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle C>0}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/c84d4126c6df243734f9355927c026df6b0d3859" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:6.027ex; height:2.176ex;" alt="{\displaystyle C>0}"></span> such that: </p><p><span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle |b(x,\mu )-b(y,\nu )|+|\sigma (x,\mu )-\sigma (y,\nu )|\leq C(|x-y|+W_{2}(\mu ,\nu ))}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mrow class="MJX-TeXAtom-ORD"> <mo stretchy="false">|</mo> </mrow> <mi>b</mi> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <mi>μ</mi> <mo stretchy="false">)</mo> <mo>−</mo> <mi>b</mi> <mo stretchy="false">(</mo> <mi>y</mi> <mo>,</mo> <mi>ν</mi> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mo stretchy="false">|</mo> </mrow> <mo>+</mo> <mrow class="MJX-TeXAtom-ORD"> <mo stretchy="false">|</mo> </mrow> <mi>σ</mi> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <mi>μ</mi> <mo stretchy="false">)</mo> <mo>−</mo> <mi>σ</mi> <mo stretchy="false">(</mo> <mi>y</mi> <mo>,</mo> <mi>ν</mi> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mo stretchy="false">|</mo> </mrow> <mo>≤</mo> <mi>C</mi> <mo stretchy="false">(</mo> <mrow class="MJX-TeXAtom-ORD"> <mo stretchy="false">|</mo> </mrow> <mi>x</mi> <mo>−</mo> <mi>y</mi> <mrow class="MJX-TeXAtom-ORD"> <mo stretchy="false">|</mo> </mrow> <mo>+</mo> <msub> <mi>W</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>2</mn> </mrow> </msub> <mo stretchy="false">(</mo> <mi>μ</mi> <mo>,</mo> <mi>ν</mi> <mo stretchy="false">)</mo> <mo stretchy="false">)</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle |b(x,\mu )-b(y,\nu )|+|\sigma (x,\mu )-\sigma (y,\nu )|\leq C(|x-y|+W_{2}(\mu ,\nu ))}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/cfb430461e5a65a31be01657e79e69e824e51a46" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:62.233ex; height:2.843ex;" alt="{\displaystyle |b(x,\mu )-b(y,\nu )|+|\sigma (x,\mu )-\sigma (y,\nu )|\leq C(|x-y|+W_{2}(\mu ,\nu ))}"></span> </p><p>where <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle W_{2}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>W</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>2</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle W_{2}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/421467fcab2af38ddf3977b9adf66de8ef3abd57" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:3.248ex; height:2.509ex;" alt="{\displaystyle W_{2}}"></span> is the <a href="/wiki/Wasserstein_metric" title="Wasserstein metric">Wasserstein metric</a>. </p><p>Suppose <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle f_{0}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>f</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>0</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle f_{0}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/6423b30a4c5770c59b5ab92dcb4ce378755440ab" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:2.193ex; height:2.509ex;" alt="{\displaystyle f_{0}}"></span> has finite variance. </p><p>Then for any <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle T>0}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>T</mi> <mo>></mo> <mn>0</mn> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle T>0}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/e39e90b9e1e7d5be3b5eae57729dc63494bbe3fd" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:5.897ex; height:2.176ex;" alt="{\displaystyle T>0}"></span> there is a unique strong solution to the McKean-Vlasov system of equations on <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle [0,T]}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mo stretchy="false">[</mo> <mn>0</mn> <mo>,</mo> <mi>T</mi> <mo stretchy="false">]</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle [0,T]}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/35ccef2d3dc751e081375d51c111709d8a1d7ac6" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:5.126ex; height:2.843ex;" alt="{\displaystyle [0,T]}"></span>. Furthermore, its law is the unique solution to the non-linear <a href="/wiki/Fokker%E2%80%93Planck_equation" title="Fokker–Planck equation">Fokker–Planck equation</a>: </p><p><span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \partial _{t}\mu _{t}(x)=-\nabla \cdot \{b(x,\mu _{t})\mu _{t}\}+{\frac {1}{2}}\sum \limits _{i,j=1}^{d}\partial _{x_{i}}\partial _{x_{j}}\{a_{ij}(x,\mu _{t})\mu _{t}\}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi mathvariant="normal">∂</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo stretchy="false">(</mo> <mi>x</mi> <mo stretchy="false">)</mo> <mo>=</mo> <mo>−</mo> <mi mathvariant="normal">∇</mi> <mo>⋅</mo> <mo fence="false" stretchy="false">{</mo> <mi>b</mi> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo stretchy="false">)</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo fence="false" stretchy="false">}</mo> <mo>+</mo> <mrow class="MJX-TeXAtom-ORD"> <mfrac> <mn>1</mn> <mn>2</mn> </mfrac> </mrow> <munderover> <mo movablelimits="false">∑</mo> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> <mo>,</mo> <mi>j</mi> <mo>=</mo> <mn>1</mn> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>d</mi> </mrow> </munderover> <msub> <mi mathvariant="normal">∂</mi> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>x</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msub> </mrow> </msub> <msub> <mi mathvariant="normal">∂</mi> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>x</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>j</mi> </mrow> </msub> </mrow> </msub> <mo fence="false" stretchy="false">{</mo> <msub> <mi>a</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> <mi>j</mi> </mrow> </msub> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo stretchy="false">)</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> <mo fence="false" stretchy="false">}</mo> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \partial _{t}\mu _{t}(x)=-\nabla \cdot \{b(x,\mu _{t})\mu _{t}\}+{\frac {1}{2}}\sum \limits _{i,j=1}^{d}\partial _{x_{i}}\partial _{x_{j}}\{a_{ij}(x,\mu _{t})\mu _{t}\}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/2292704fc5646f6beac6fd0f7a5fa57e9ae905d2" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -3.338ex; width:57.128ex; height:7.676ex;" alt="{\displaystyle \partial _{t}\mu _{t}(x)=-\nabla \cdot \{b(x,\mu _{t})\mu _{t}\}+{\frac {1}{2}}\sum \limits _{i,j=1}^{d}\partial _{x_{i}}\partial _{x_{j}}\{a_{ij}(x,\mu _{t})\mu _{t}\}}"></span> </p> </div> <div class="mw-heading mw-heading2"><h2 id="Propagation_of_chaos">Propagation of chaos</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=McKean%E2%80%93Vlasov_process&action=edit&section=3" title="Edit section: Propagation of chaos"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <p>The McKean-Vlasov process is an example of <b>propagation of chaos</b>.<sup id="cite_ref-:3_4-2" class="reference"><a href="#cite_note-:3-4"><span class="cite-bracket">[</span>4<span class="cite-bracket">]</span></a></sup> What this means is that many McKean-Vlasov process can be obtained as the limit of discrete systems of stochastic differential equations <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle (X_{t}^{i})_{1\leq i\leq N}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mo stretchy="false">(</mo> <msubsup> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msubsup> <msub> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> <mo>≤</mo> <mi>i</mi> <mo>≤</mo> <mi>N</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle (X_{t}^{i})_{1\leq i\leq N}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/d58a493bef7d9e76bb15be632e4313d237c11f1f" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -1.005ex; width:10.244ex; height:3.176ex;" alt="{\displaystyle (X_{t}^{i})_{1\leq i\leq N}}"></span>. </p><p>Formally, define <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle (X^{i})_{1\leq i\leq N}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mo stretchy="false">(</mo> <msup> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msup> <msub> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> <mo>≤</mo> <mi>i</mi> <mo>≤</mo> <mi>N</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle (X^{i})_{1\leq i\leq N}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/1972ee7021079076dc83d1b5e6a6756116c5437e" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:10.244ex; height:3.176ex;" alt="{\displaystyle (X^{i})_{1\leq i\leq N}}"></span> to be the <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle d}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>d</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle d}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/e85ff03cbe0c7341af6b982e47e9f90d235c66ab" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:1.216ex; height:2.176ex;" alt="{\displaystyle d}"></span>-dimensional solutions to: </p> <ul><li><span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle (X_{0}^{i})_{1\leq i\leq N}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mo stretchy="false">(</mo> <msubsup> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>0</mn> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msubsup> <msub> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> <mo>≤</mo> <mi>i</mi> <mo>≤</mo> <mi>N</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle (X_{0}^{i})_{1\leq i\leq N}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/419ae5969e8422d0d3023b6bc15c305fd778b3ea" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -1.005ex; width:10.426ex; height:3.176ex;" alt="{\displaystyle (X_{0}^{i})_{1\leq i\leq N}}"></span> are i.i.d with law <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle f_{0}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>f</mi> <mrow class="MJX-TeXAtom-ORD"> <mn>0</mn> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle f_{0}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/6423b30a4c5770c59b5ab92dcb4ce378755440ab" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:2.193ex; height:2.509ex;" alt="{\displaystyle f_{0}}"></span></li> <li><span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle dX_{t}^{i}=\sigma (X_{t}^{i},\mu _{X_{t}})dB_{t}^{i}+b(X_{t}^{i},\mu _{X_{t}})dt}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>d</mi> <msubsup> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msubsup> <mo>=</mo> <mi>σ</mi> <mo stretchy="false">(</mo> <msubsup> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msubsup> <mo>,</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mrow> </msub> <mo stretchy="false">)</mo> <mi>d</mi> <msubsup> <mi>B</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msubsup> <mo>+</mo> <mi>b</mi> <mo stretchy="false">(</mo> <msubsup> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msubsup> <mo>,</mo> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mrow> </msub> <mo stretchy="false">)</mo> <mi>d</mi> <mi>t</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle dX_{t}^{i}=\sigma (X_{t}^{i},\mu _{X_{t}})dB_{t}^{i}+b(X_{t}^{i},\mu _{X_{t}})dt}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/aa5a9972691e8fdf5eaef8b5f15fb076644c2864" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -1.005ex; width:36.701ex; height:3.176ex;" alt="{\displaystyle dX_{t}^{i}=\sigma (X_{t}^{i},\mu _{X_{t}})dB_{t}^{i}+b(X_{t}^{i},\mu _{X_{t}})dt}"></span></li></ul> <p>where the <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle (B^{i})_{1\leq i\leq N}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mo stretchy="false">(</mo> <msup> <mi>B</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msup> <msub> <mo stretchy="false">)</mo> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> <mo>≤</mo> <mi>i</mi> <mo>≤</mo> <mi>N</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle (B^{i})_{1\leq i\leq N}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/57376ce908f83471afe0bf65b983dcb14c77f524" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:10.011ex; height:3.176ex;" alt="{\displaystyle (B^{i})_{1\leq i\leq N}}"></span> are i.i.d <a href="/wiki/Brownian_motion" title="Brownian motion">Brownian motion</a>, and <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \mu _{X_{t}}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \mu _{X_{t}}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/66d43dacf6fe5d98d12b833f3133a911e919cd39" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:3.641ex; height:2.176ex;" alt="{\displaystyle \mu _{X_{t}}}"></span> is the <a href="/wiki/Empirical_measure" title="Empirical measure">empirical measure</a> associated with <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle X_{t}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle X_{t}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/82120d04dfb3cbadc4912951dd12b5568c9cd8f3" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.671ex; width:2.75ex; height:2.509ex;" alt="{\displaystyle X_{t}}"></span> defined by <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \mu _{X_{t}}:={\frac {1}{N}}\sum \limits _{1\leq i\leq N}\delta _{X_{t}^{i}}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mrow> </msub> <mo>:=</mo> <mrow class="MJX-TeXAtom-ORD"> <mfrac> <mn>1</mn> <mi>N</mi> </mfrac> </mrow> <munder> <mo movablelimits="false">∑</mo> <mrow class="MJX-TeXAtom-ORD"> <mn>1</mn> <mo>≤</mo> <mi>i</mi> <mo>≤</mo> <mi>N</mi> </mrow> </munder> <msub> <mi>δ</mi> <mrow class="MJX-TeXAtom-ORD"> <msubsup> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> <mrow class="MJX-TeXAtom-ORD"> <mi>i</mi> </mrow> </msubsup> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \mu _{X_{t}}:={\frac {1}{N}}\sum \limits _{1\leq i\leq N}\delta _{X_{t}^{i}}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/5e418e8fdb0cd6ac2c7633847d35118cb6c66488" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -3.338ex; width:19.767ex; height:6.676ex;" alt="{\displaystyle \mu _{X_{t}}:={\frac {1}{N}}\sum \limits _{1\leq i\leq N}\delta _{X_{t}^{i}}}"></span> where <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \delta }"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>δ</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \delta }</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/c5321cfa797202b3e1f8620663ff43c4660ea03a" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.338ex; width:1.049ex; height:2.343ex;" alt="{\displaystyle \delta }"></span> is the <a href="/wiki/Dirac_measure" title="Dirac measure">Dirac measure</a>. </p><p>Propagation of chaos is the property that, as the number of particles <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle N\to +\infty }"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <mi>N</mi> <mo stretchy="false">→</mo> <mo>+</mo> <mi mathvariant="normal">∞</mi> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle N\to +\infty }</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/58924c669aea0190cff7a52af4053710b82a1c7b" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.505ex; width:9.81ex; height:2.343ex;" alt="{\displaystyle N\to +\infty }"></span>, the interaction between any two particles vanishes, and the random empirical measure <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \mu _{X_{t}}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <msub> <mi>X</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \mu _{X_{t}}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/66d43dacf6fe5d98d12b833f3133a911e919cd39" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:3.641ex; height:2.176ex;" alt="{\displaystyle \mu _{X_{t}}}"></span> is replaced by the deterministic distribution <span class="mwe-math-element"><span class="mwe-math-mathml-inline mwe-math-mathml-a11y" style="display: none;"><math xmlns="http://www.w3.org/1998/Math/MathML" alttext="{\displaystyle \mu _{t}}"> <semantics> <mrow class="MJX-TeXAtom-ORD"> <mstyle displaystyle="true" scriptlevel="0"> <msub> <mi>μ</mi> <mrow class="MJX-TeXAtom-ORD"> <mi>t</mi> </mrow> </msub> </mstyle> </mrow> <annotation encoding="application/x-tex">{\displaystyle \mu _{t}}</annotation> </semantics> </math></span><img src="https://wikimedia.org/api/rest_v1/media/math/render/svg/d8247e7beb0b3fa21c4fe35defef3a3cf93df67d" class="mwe-math-fallback-image-inline mw-invert skin-invert" aria-hidden="true" style="vertical-align: -0.838ex; width:2.228ex; height:2.176ex;" alt="{\displaystyle \mu _{t}}"></span>. </p><p>Under some regularity conditions,<sup id="cite_ref-:3_4-3" class="reference"><a href="#cite_note-:3-4"><span class="cite-bracket">[</span>4<span class="cite-bracket">]</span></a></sup> the mean-field process just defined will converge to the corresponding McKean-Vlasov process. </p> <div class="mw-heading mw-heading2"><h2 id="Applications">Applications</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=McKean%E2%80%93Vlasov_process&action=edit&section=4" title="Edit section: Applications"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <ul><li><a href="/wiki/Mean-field_theory" title="Mean-field theory">Mean-field theory</a></li> <li><a href="/wiki/Mean-field_game_theory" title="Mean-field game theory">Mean-field game theory</a><sup id="cite_ref-:1_5-2" class="reference"><a href="#cite_note-:1-5"><span class="cite-bracket">[</span>5<span class="cite-bracket">]</span></a></sup></li> <li><a href="/wiki/Random_matrices" class="mw-redirect" title="Random matrices">Random matrices</a>: including Dyson's model on eigenvalue dynamics for random symmetric matrices and the <a href="/wiki/Wigner_semicircle_distribution" title="Wigner semicircle distribution">Wigner semicircle distribution</a><sup id="cite_ref-:2_6-1" class="reference"><a href="#cite_note-:2-6"><span class="cite-bracket">[</span>6<span class="cite-bracket">]</span></a></sup></li></ul> <div class="mw-heading mw-heading2"><h2 id="References">References</h2><span class="mw-editsection"><span class="mw-editsection-bracket">[</span><a href="/w/index.php?title=McKean%E2%80%93Vlasov_process&action=edit&section=5" title="Edit section: References"><span>edit</span></a><span class="mw-editsection-bracket">]</span></span></div> <style data-mw-deduplicate="TemplateStyles:r1239543626">.mw-parser-output .reflist{margin-bottom:0.5em;list-style-type:decimal}@media screen{.mw-parser-output .reflist{font-size:90%}}.mw-parser-output .reflist .references{font-size:100%;margin-bottom:0;list-style-type:inherit}.mw-parser-output .reflist-columns-2{column-width:30em}.mw-parser-output .reflist-columns-3{column-width:25em}.mw-parser-output .reflist-columns{margin-top:0.3em}.mw-parser-output .reflist-columns ol{margin-top:0}.mw-parser-output .reflist-columns li{page-break-inside:avoid;break-inside:avoid-column}.mw-parser-output .reflist-upper-alpha{list-style-type:upper-alpha}.mw-parser-output .reflist-upper-roman{list-style-type:upper-roman}.mw-parser-output .reflist-lower-alpha{list-style-type:lower-alpha}.mw-parser-output .reflist-lower-greek{list-style-type:lower-greek}.mw-parser-output .reflist-lower-roman{list-style-type:lower-roman}</style><div class="reflist"> <div class="mw-references-wrap"><ol class="references"> <li id="cite_note-1"><span class="mw-cite-backlink"><b><a href="#cite_ref-1">^</a></b></span> <span class="reference-text"><style data-mw-deduplicate="TemplateStyles:r1238218222">.mw-parser-output cite.citation{font-style:inherit;word-wrap:break-word}.mw-parser-output .citation q{quotes:"\"""\"""'""'"}.mw-parser-output .citation:target{background-color:rgba(0,127,255,0.133)}.mw-parser-output .id-lock-free.id-lock-free a{background:url("//upload.wikimedia.org/wikipedia/commons/6/65/Lock-green.svg")right 0.1em center/9px no-repeat}.mw-parser-output .id-lock-limited.id-lock-limited a,.mw-parser-output .id-lock-registration.id-lock-registration a{background:url("//upload.wikimedia.org/wikipedia/commons/d/d6/Lock-gray-alt-2.svg")right 0.1em center/9px no-repeat}.mw-parser-output .id-lock-subscription.id-lock-subscription a{background:url("//upload.wikimedia.org/wikipedia/commons/a/aa/Lock-red-alt-2.svg")right 0.1em center/9px no-repeat}.mw-parser-output .cs1-ws-icon a{background:url("//upload.wikimedia.org/wikipedia/commons/4/4c/Wikisource-logo.svg")right 0.1em center/12px no-repeat}body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-free a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-limited a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-registration a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .id-lock-subscription a,body:not(.skin-timeless):not(.skin-minerva) .mw-parser-output .cs1-ws-icon a{background-size:contain;padding:0 1em 0 0}.mw-parser-output .cs1-code{color:inherit;background:inherit;border:none;padding:inherit}.mw-parser-output .cs1-hidden-error{display:none;color:var(--color-error,#d33)}.mw-parser-output .cs1-visible-error{color:var(--color-error,#d33)}.mw-parser-output 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id="CITEREFCarmonaDelarueLachapelle" class="citation web cs1">Carmona, Rene; Delarue, Francois; Lachapelle, Aime. <a rel="nofollow" class="external text" href="https://carmona.princeton.edu/download/mfg/cdl.pdf">"Control of McKean-Vlasov Dynamics versus Mean Field Games"</a> <span class="cs1-format">(PDF)</span>. <i>Princeton University</i>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=unknown&rft.jtitle=Princeton+University&rft.atitle=Control+of+McKean-Vlasov+Dynamics+versus+Mean+Field+Games&rft.aulast=Carmona&rft.aufirst=Rene&rft.au=Delarue%2C+Francois&rft.au=Lachapelle%2C+Aime&rft_id=https%3A%2F%2Fcarmona.princeton.edu%2Fdownload%2Fmfg%2Fcdl.pdf&rfr_id=info%3Asid%2Fen.wikipedia.org%3AMcKean%E2%80%93Vlasov+process" class="Z3988"></span></span> </li> <li id="cite_note-:2-6"><span class="mw-cite-backlink">^ <a href="#cite_ref-:2_6-0"><sup><i><b>a</b></i></sup></a> <a href="#cite_ref-:2_6-1"><sup><i><b>b</b></i></sup></a></span> <span class="reference-text"><link rel="mw-deduplicated-inline-style" href="mw-data:TemplateStyles:r1238218222"><cite id="CITEREFChan1994" class="citation journal cs1">Chan, Terence (January 1994). <a rel="nofollow" class="external text" href="https://projecteuclid.org/journals/annals-of-probability/volume-22/issue-1/Dynamics-of-the-McKean-Vlasov-Equation/10.1214/aop/1176988866.full">"Dynamics of the McKean-Vlasov Equation"</a>. <i>The Annals of Probability</i>. <b>22</b> (1): 431–441. <a href="/wiki/Doi_(identifier)" class="mw-redirect" title="Doi (identifier)">doi</a>:<span class="id-lock-free" title="Freely accessible"><a rel="nofollow" class="external text" href="https://doi.org/10.1214%2Faop%2F1176988866">10.1214/aop/1176988866</a></span>. <a href="/wiki/ISSN_(identifier)" class="mw-redirect" title="ISSN (identifier)">ISSN</a> <a rel="nofollow" class="external text" href="https://search.worldcat.org/issn/0091-1798">0091-1798</a>.</cite><span title="ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.jtitle=The+Annals+of+Probability&rft.atitle=Dynamics+of+the+McKean-Vlasov+Equation&rft.volume=22&rft.issue=1&rft.pages=431-441&rft.date=1994-01&rft_id=info%3Adoi%2F10.1214%2Faop%2F1176988866&rft.issn=0091-1798&rft.aulast=Chan&rft.aufirst=Terence&rft_id=https%3A%2F%2Fprojecteuclid.org%2Fjournals%2Fannals-of-probability%2Fvolume-22%2Fissue-1%2FDynamics-of-the-McKean-Vlasov-Equation%2F10.1214%2Faop%2F1176988866.full&rfr_id=info%3Asid%2Fen.wikipedia.org%3AMcKean%E2%80%93Vlasov+process" class="Z3988"></span></span> </li> </ol></div></div> <div class="navbox-styles"><style data-mw-deduplicate="TemplateStyles:r1129693374">.mw-parser-output .hlist dl,.mw-parser-output .hlist ol,.mw-parser-output .hlist ul{margin:0;padding:0}.mw-parser-output .hlist dd,.mw-parser-output .hlist dt,.mw-parser-output .hlist li{margin:0;display:inline}.mw-parser-output .hlist.inline,.mw-parser-output .hlist.inline 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href="/wiki/Bernoulli_process" title="Bernoulli process">Bernoulli process</a></li> <li><a href="/wiki/Branching_process" title="Branching process">Branching process</a></li> <li><a href="/wiki/Chinese_restaurant_process" title="Chinese restaurant process">Chinese restaurant process</a></li> <li><a href="/wiki/Galton%E2%80%93Watson_process" title="Galton–Watson process">Galton–Watson process</a></li> <li><a href="/wiki/Independent_and_identically_distributed_random_variables" title="Independent and identically distributed random variables">Independent and identically distributed random variables</a></li> <li><a href="/wiki/Markov_chain" title="Markov chain">Markov chain</a></li> <li><a href="/wiki/Moran_process" title="Moran process">Moran process</a></li> <li><a href="/wiki/Random_walk" title="Random walk">Random walk</a> <ul><li><a href="/wiki/Loop-erased_random_walk" title="Loop-erased random walk">Loop-erased</a></li> <li><a href="/wiki/Self-avoiding_walk" title="Self-avoiding walk">Self-avoiding</a></li> <li><a href="/wiki/Biased_random_walk_on_a_graph" title="Biased random walk on a graph"> Biased</a></li> <li><a href="/wiki/Maximal_entropy_random_walk" title="Maximal entropy random walk">Maximal entropy</a></li></ul></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Continuous-time_stochastic_process" title="Continuous-time stochastic process">Continuous time</a></th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Additive_process" title="Additive process">Additive process</a></li> <li><a href="/wiki/Bessel_process" title="Bessel process">Bessel process</a></li> <li><a href="/wiki/Birth%E2%80%93death_process" title="Birth–death process">Birth–death process</a> <ul><li><a href="/wiki/Birth_process" title="Birth process">pure birth</a></li></ul></li> <li><a href="/wiki/Wiener_process" title="Wiener process">Brownian motion</a> <ul><li><a href="/wiki/Brownian_bridge" title="Brownian bridge">Bridge</a></li> <li><a href="/wiki/Brownian_excursion" title="Brownian excursion">Excursion</a></li> <li><a href="/wiki/Fractional_Brownian_motion" title="Fractional Brownian motion">Fractional</a></li> <li><a href="/wiki/Geometric_Brownian_motion" title="Geometric Brownian motion">Geometric</a></li> <li><a href="/wiki/Brownian_meander" title="Brownian meander">Meander</a></li></ul></li> <li><a href="/wiki/Cauchy_process" title="Cauchy process">Cauchy process</a></li> <li><a href="/wiki/Contact_process_(mathematics)" title="Contact process (mathematics)">Contact process</a></li> <li><a href="/wiki/Continuous-time_random_walk" title="Continuous-time random walk">Continuous-time random walk</a></li> <li><a href="/wiki/Cox_process" title="Cox process">Cox process</a></li> <li><a href="/wiki/Diffusion_process" title="Diffusion process">Diffusion process</a></li> <li><a href="/wiki/Dyson_Brownian_motion" title="Dyson Brownian motion">Dyson Brownian motion</a></li> <li><a href="/wiki/Empirical_process" title="Empirical process">Empirical process</a></li> <li><a href="/wiki/Feller_process" title="Feller process">Feller process</a></li> <li><a href="/wiki/Fleming%E2%80%93Viot_process" title="Fleming–Viot process">Fleming–Viot process</a></li> <li><a href="/wiki/Gamma_process" title="Gamma process">Gamma process</a></li> <li><a href="/wiki/Geometric_process" title="Geometric process">Geometric process</a></li> <li><a href="/wiki/Hawkes_process" title="Hawkes process">Hawkes process</a></li> <li><a href="/wiki/Hunt_process" title="Hunt process">Hunt process</a></li> <li><a href="/wiki/Interacting_particle_system" title="Interacting particle system">Interacting particle systems</a></li> <li><a href="/wiki/It%C3%B4_diffusion" title="Itô diffusion">Itô diffusion</a></li> <li><a href="/wiki/It%C3%B4_process" class="mw-redirect" title="Itô process">Itô process</a></li> <li><a href="/wiki/Jump_diffusion" title="Jump diffusion">Jump diffusion</a></li> <li><a href="/wiki/Jump_process" title="Jump process">Jump process</a></li> <li><a href="/wiki/L%C3%A9vy_process" title="Lévy process">Lévy process</a></li> <li><a href="/wiki/Local_time_(mathematics)" title="Local time (mathematics)">Local time</a></li> <li><a href="/wiki/Markov_additive_process" title="Markov additive process">Markov additive process</a></li> <li><a class="mw-selflink selflink">McKean–Vlasov process</a></li> <li><a href="/wiki/Ornstein%E2%80%93Uhlenbeck_process" title="Ornstein–Uhlenbeck process">Ornstein–Uhlenbeck process</a></li> <li><a href="/wiki/Poisson_point_process" title="Poisson point process">Poisson process</a> <ul><li><a href="/wiki/Compound_Poisson_process" title="Compound Poisson process">Compound</a></li> <li><a href="/wiki/Non-homogeneous_Poisson_process" class="mw-redirect" title="Non-homogeneous Poisson process">Non-homogeneous</a></li></ul></li> <li><a href="/wiki/Schramm%E2%80%93Loewner_evolution" title="Schramm–Loewner evolution">Schramm–Loewner evolution</a></li> <li><a href="/wiki/Semimartingale" title="Semimartingale">Semimartingale</a></li> <li><a href="/wiki/Sigma-martingale" title="Sigma-martingale">Sigma-martingale</a></li> <li><a href="/wiki/Stable_process" title="Stable process">Stable process</a></li> <li><a href="/wiki/Superprocess" title="Superprocess">Superprocess</a></li> <li><a href="/wiki/Telegraph_process" title="Telegraph process">Telegraph process</a></li> <li><a href="/wiki/Variance_gamma_process" title="Variance gamma process">Variance gamma process</a></li> <li><a href="/wiki/Wiener_process" title="Wiener process">Wiener process</a></li> <li><a href="/wiki/Wiener_sausage" title="Wiener sausage">Wiener sausage</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Both</th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Branching_process" title="Branching process">Branching process</a></li> <li><a href="/wiki/Gaussian_process" title="Gaussian process">Gaussian process</a></li> <li><a href="/wiki/Hidden_Markov_model" title="Hidden Markov model">Hidden Markov model (HMM)</a></li> <li><a href="/wiki/Markov_process" class="mw-redirect" title="Markov process">Markov process</a></li> <li><a href="/wiki/Martingale_(probability_theory)" title="Martingale (probability theory)">Martingale</a> <ul><li><a href="/wiki/Martingale_difference_sequence" title="Martingale difference sequence">Differences</a></li> <li><a href="/wiki/Local_martingale" title="Local martingale">Local</a></li> <li><a href="/wiki/Submartingale" class="mw-redirect" title="Submartingale">Sub-</a></li> <li><a href="/wiki/Supermartingale" class="mw-redirect" title="Supermartingale">Super-</a></li></ul></li> <li><a href="/wiki/Random_dynamical_system" title="Random dynamical system">Random dynamical system</a></li> <li><a href="/wiki/Regenerative_process" title="Regenerative process">Regenerative process</a></li> <li><a href="/wiki/Renewal_process" class="mw-redirect" title="Renewal process">Renewal process</a></li> <li><a href="/wiki/Stochastic_chains_with_memory_of_variable_length" title="Stochastic chains with memory of variable length">Stochastic chains with memory of variable length</a></li> <li><a href="/wiki/White_noise" title="White noise">White noise</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Fields and other</th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Dirichlet_process" title="Dirichlet process">Dirichlet process</a></li> <li><a href="/wiki/Gaussian_random_field" title="Gaussian random field">Gaussian random field</a></li> <li><a href="/wiki/Gibbs_measure" title="Gibbs measure">Gibbs measure</a></li> <li><a href="/wiki/Hopfield_model" class="mw-redirect" title="Hopfield model">Hopfield model</a></li> <li><a href="/wiki/Ising_model" title="Ising model">Ising model</a> <ul><li><a href="/wiki/Potts_model" title="Potts model">Potts model</a></li> <li><a href="/wiki/Boolean_network" title="Boolean network">Boolean network</a></li></ul></li> <li><a href="/wiki/Markov_random_field" title="Markov random field">Markov random field</a></li> <li><a href="/wiki/Percolation_theory" title="Percolation theory">Percolation</a></li> <li><a href="/wiki/Pitman%E2%80%93Yor_process" title="Pitman–Yor process">Pitman–Yor process</a></li> <li><a href="/wiki/Point_process" title="Point process">Point process</a> <ul><li><a href="/wiki/Point_process#Cox_point_process" title="Point process">Cox</a></li> <li><a href="/wiki/Poisson_point_process" title="Poisson point process">Poisson</a></li></ul></li> <li><a href="/wiki/Random_field" title="Random field">Random field</a></li> <li><a href="/wiki/Random_graph" title="Random graph">Random graph</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Time_series" title="Time series">Time series models</a></th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Autoregressive_conditional_heteroskedasticity" title="Autoregressive conditional heteroskedasticity">Autoregressive conditional heteroskedasticity (ARCH) model</a></li> <li><a href="/wiki/Autoregressive_integrated_moving_average" title="Autoregressive integrated moving average">Autoregressive integrated moving average (ARIMA) model</a></li> <li><a href="/wiki/Autoregressive_model" title="Autoregressive model">Autoregressive (AR) model</a></li> <li><a href="/wiki/Autoregressive%E2%80%93moving-average_model" class="mw-redirect" title="Autoregressive–moving-average model">Autoregressive–moving-average (ARMA) model</a></li> <li><a href="/wiki/Autoregressive_conditional_heteroskedasticity" title="Autoregressive conditional heteroskedasticity">Generalized autoregressive conditional heteroskedasticity (GARCH) model</a></li> <li><a href="/wiki/Moving-average_model" title="Moving-average model">Moving-average (MA) model</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Asset_pricing_model" class="mw-redirect" title="Asset pricing model">Financial models</a></th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Binomial_options_pricing_model" title="Binomial options pricing model">Binomial options pricing model</a></li> <li><a href="/wiki/Black%E2%80%93Derman%E2%80%93Toy_model" title="Black–Derman–Toy model">Black–Derman–Toy</a></li> <li><a href="/wiki/Black%E2%80%93Karasinski_model" title="Black–Karasinski model">Black–Karasinski</a></li> <li><a href="/wiki/Black%E2%80%93Scholes_model" title="Black–Scholes model">Black–Scholes</a></li> <li><a href="/wiki/Chan%E2%80%93Karolyi%E2%80%93Longstaff%E2%80%93Sanders_process" title="Chan–Karolyi–Longstaff–Sanders process">Chan–Karolyi–Longstaff–Sanders (CKLS)</a></li> <li><a href="/wiki/Chen_model" title="Chen model">Chen</a></li> <li><a href="/wiki/Constant_elasticity_of_variance_model" title="Constant elasticity of variance model">Constant elasticity of variance (CEV)</a></li> <li><a href="/wiki/Cox%E2%80%93Ingersoll%E2%80%93Ross_model" title="Cox–Ingersoll–Ross model">Cox–Ingersoll–Ross (CIR)</a></li> <li><a href="/wiki/Garman%E2%80%93Kohlhagen_model" class="mw-redirect" title="Garman–Kohlhagen model">Garman–Kohlhagen</a></li> <li><a href="/wiki/Heath%E2%80%93Jarrow%E2%80%93Morton_framework" title="Heath–Jarrow–Morton framework">Heath–Jarrow–Morton (HJM)</a></li> <li><a href="/wiki/Heston_model" title="Heston model">Heston</a></li> <li><a href="/wiki/Ho%E2%80%93Lee_model" title="Ho–Lee model">Ho–Lee</a></li> <li><a href="/wiki/Hull%E2%80%93White_model" title="Hull–White model">Hull–White</a></li> <li><a href="/wiki/Korn%E2%80%93Kreer%E2%80%93Lenssen_model" title="Korn–Kreer–Lenssen model">Korn-Kreer-Lenssen</a></li> <li><a href="/wiki/LIBOR_market_model" title="LIBOR market model">LIBOR market</a></li> <li><a href="/wiki/Rendleman%E2%80%93Bartter_model" title="Rendleman–Bartter model">Rendleman–Bartter</a></li> <li><a href="/wiki/SABR_volatility_model" title="SABR volatility model">SABR volatility</a></li> <li><a href="/wiki/Vasicek_model" title="Vasicek model">Vašíček</a></li> <li><a href="/wiki/Wilkie_investment_model" title="Wilkie investment model">Wilkie</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Actuarial_mathematics" class="mw-redirect" title="Actuarial mathematics">Actuarial models</a></th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/B%C3%BChlmann_model" title="Bühlmann model">Bühlmann</a></li> <li><a href="/wiki/Cram%C3%A9r%E2%80%93Lundberg_model" class="mw-redirect" title="Cramér–Lundberg model">Cramér–Lundberg</a></li> <li><a href="/wiki/Risk_process" class="mw-redirect" title="Risk process">Risk process</a></li> <li><a href="/wiki/Sparre%E2%80%93Anderson_model" class="mw-redirect" title="Sparre–Anderson model">Sparre–Anderson</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/Queueing_model" class="mw-redirect" title="Queueing model">Queueing models</a></th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Bulk_queue" title="Bulk queue">Bulk</a></li> <li><a href="/wiki/Fluid_queue" title="Fluid queue">Fluid</a></li> <li><a href="/wiki/G-network" title="G-network">Generalized queueing network</a></li> <li><a href="/wiki/M/G/1_queue" title="M/G/1 queue">M/G/1</a></li> <li><a href="/wiki/M/M/1_queue" title="M/M/1 queue">M/M/1</a></li> <li><a href="/wiki/M/M/c_queue" title="M/M/c queue">M/M/c</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Properties</th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/C%C3%A0dl%C3%A0g" title="Càdlàg">Càdlàg paths</a></li> <li><a href="/wiki/Continuous_stochastic_process" title="Continuous stochastic process">Continuous</a></li> <li><a href="/wiki/Sample-continuous_process" title="Sample-continuous process">Continuous paths</a></li> <li><a href="/wiki/Ergodicity" title="Ergodicity">Ergodic</a></li> <li><a href="/wiki/Exchangeable_random_variables" title="Exchangeable random variables">Exchangeable</a></li> <li><a href="/wiki/Feller-continuous_process" title="Feller-continuous process">Feller-continuous</a></li> <li><a href="/wiki/Gauss%E2%80%93Markov_process" title="Gauss–Markov process">Gauss–Markov</a></li> <li><a href="/wiki/Markov_property" title="Markov property">Markov</a></li> <li><a href="/wiki/Mixing_(mathematics)" title="Mixing (mathematics)">Mixing</a></li> <li><a href="/wiki/Piecewise-deterministic_Markov_process" title="Piecewise-deterministic Markov process">Piecewise-deterministic</a></li> <li><a href="/wiki/Predictable_process" title="Predictable process">Predictable</a></li> <li><a href="/wiki/Progressively_measurable_process" title="Progressively measurable process">Progressively measurable</a></li> <li><a href="/wiki/Self-similar_process" title="Self-similar process">Self-similar</a></li> <li><a href="/wiki/Stationary_process" title="Stationary process">Stationary</a></li> <li><a href="/wiki/Time_reversibility" title="Time reversibility">Time-reversible</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Limit theorems</th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Central_limit_theorem" title="Central limit theorem">Central limit theorem</a></li> <li><a href="/wiki/Donsker%27s_theorem" title="Donsker's theorem">Donsker's theorem</a></li> <li><a href="/wiki/Doob%27s_martingale_convergence_theorems" title="Doob's martingale convergence theorems">Doob's martingale convergence theorems</a></li> <li><a href="/wiki/Ergodic_theorem" class="mw-redirect" title="Ergodic theorem">Ergodic theorem</a></li> <li><a href="/wiki/Fisher%E2%80%93Tippett%E2%80%93Gnedenko_theorem" title="Fisher–Tippett–Gnedenko theorem">Fisher–Tippett–Gnedenko theorem</a></li> <li><a href="/wiki/Large_deviation_principle" class="mw-redirect" title="Large deviation principle">Large deviation principle</a></li> <li><a href="/wiki/Law_of_large_numbers" title="Law of large numbers">Law of large numbers (weak/strong)</a></li> <li><a href="/wiki/Law_of_the_iterated_logarithm" title="Law of the iterated logarithm">Law of the iterated logarithm</a></li> <li><a href="/wiki/Maximal_ergodic_theorem" title="Maximal ergodic theorem">Maximal ergodic theorem</a></li> <li><a href="/wiki/Sanov%27s_theorem" title="Sanov's theorem">Sanov's theorem</a></li> <li><a href="/wiki/Zero%E2%80%93one_law" title="Zero–one law">Zero–one laws</a> (<a href="/wiki/Blumenthal%27s_zero%E2%80%93one_law" title="Blumenthal's zero–one law">Blumenthal</a>, <a href="/wiki/Borel%E2%80%93Cantelli_lemma" title="Borel–Cantelli lemma">Borel–Cantelli</a>, <a href="/wiki/Engelbert%E2%80%93Schmidt_zero%E2%80%93one_law" title="Engelbert–Schmidt zero–one law">Engelbert–Schmidt</a>, <a href="/wiki/Hewitt%E2%80%93Savage_zero%E2%80%93one_law" title="Hewitt–Savage zero–one law">Hewitt–Savage</a>, <a href="/wiki/Kolmogorov%27s_zero%E2%80%93one_law" title="Kolmogorov's zero–one law"> Kolmogorov</a>, <a href="/wiki/L%C3%A9vy%27s_zero%E2%80%93one_law" class="mw-redirect" title="Lévy's zero–one law">Lévy</a>)</li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%"><a href="/wiki/List_of_inequalities#Probability_theory_and_statistics" title="List of inequalities">Inequalities</a></th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Burkholder%E2%80%93Davis%E2%80%93Gundy_inequalities" class="mw-redirect" title="Burkholder–Davis–Gundy inequalities">Burkholder–Davis–Gundy</a></li> <li><a href="/wiki/Doob%27s_martingale_inequality" title="Doob's martingale inequality">Doob's martingale</a></li> <li><a href="/wiki/Doob%27s_upcrossing_inequality" class="mw-redirect" title="Doob's upcrossing inequality">Doob's upcrossing</a></li> <li><a href="/wiki/Kunita%E2%80%93Watanabe_inequality" title="Kunita–Watanabe inequality">Kunita–Watanabe</a></li> <li><a href="/wiki/Marcinkiewicz%E2%80%93Zygmund_inequality" title="Marcinkiewicz–Zygmund inequality">Marcinkiewicz–Zygmund</a></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Tools</th><td class="navbox-list-with-group navbox-list navbox-even hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Cameron%E2%80%93Martin_formula" class="mw-redirect" title="Cameron–Martin formula">Cameron–Martin formula</a></li> <li><a href="/wiki/Convergence_of_random_variables" title="Convergence of random variables">Convergence of random variables</a></li> <li><a href="/wiki/Dol%C3%A9ans-Dade_exponential" title="Doléans-Dade exponential">Doléans-Dade exponential</a></li> <li><a href="/wiki/Doob_decomposition_theorem" title="Doob decomposition theorem">Doob decomposition theorem</a></li> <li><a href="/wiki/Doob%E2%80%93Meyer_decomposition_theorem" title="Doob–Meyer decomposition theorem">Doob–Meyer decomposition theorem</a></li> <li><a href="/wiki/Doob%27s_optional_stopping_theorem" class="mw-redirect" title="Doob's optional stopping theorem">Doob's optional stopping theorem</a></li> <li><a href="/wiki/Dynkin%27s_formula" title="Dynkin's formula">Dynkin's formula</a></li> <li><a href="/wiki/Feynman%E2%80%93Kac_formula" title="Feynman–Kac formula">Feynman–Kac formula</a></li> <li><a href="/wiki/Filtration_(probability_theory)" title="Filtration (probability theory)">Filtration</a></li> <li><a href="/wiki/Girsanov_theorem" title="Girsanov theorem">Girsanov theorem</a></li> <li><a href="/wiki/Infinitesimal_generator_(stochastic_processes)" title="Infinitesimal generator (stochastic processes)">Infinitesimal generator</a></li> <li><a href="/wiki/It%C3%B4_integral" class="mw-redirect" title="Itô integral">Itô integral</a></li> <li><a href="/wiki/It%C3%B4%27s_lemma" title="Itô's lemma">Itô's lemma</a></li> <li><a href="/wiki/Karhunen%E2%80%93Lo%C3%A8ve_theorem" class="mw-redirect" title="Karhunen–Loève theorem">Karhunen–Loève theorem</a></li> <li><a href="/wiki/Kolmogorov_continuity_theorem" title="Kolmogorov continuity theorem">Kolmogorov continuity theorem</a></li> <li><a href="/wiki/Kolmogorov_extension_theorem" title="Kolmogorov extension theorem">Kolmogorov extension theorem</a></li> <li><a href="/wiki/L%C3%A9vy%E2%80%93Prokhorov_metric" title="Lévy–Prokhorov metric">Lévy–Prokhorov metric</a></li> <li><a href="/wiki/Malliavin_calculus" title="Malliavin calculus">Malliavin calculus</a></li> <li><a href="/wiki/Martingale_representation_theorem" title="Martingale representation theorem">Martingale representation theorem</a></li> <li><a href="/wiki/Optional_stopping_theorem" title="Optional stopping theorem">Optional stopping theorem</a></li> <li><a href="/wiki/Prokhorov%27s_theorem" title="Prokhorov's theorem">Prokhorov's theorem</a></li> <li><a href="/wiki/Quadratic_variation" title="Quadratic variation">Quadratic variation</a></li> <li><a href="/wiki/Reflection_principle_(Wiener_process)" title="Reflection principle (Wiener process)">Reflection principle</a></li> <li><a href="/wiki/Skorokhod_integral" title="Skorokhod integral">Skorokhod integral</a></li> <li><a href="/wiki/Skorokhod%27s_representation_theorem" title="Skorokhod's representation theorem">Skorokhod's representation theorem</a></li> <li><a href="/wiki/Skorokhod_space" class="mw-redirect" title="Skorokhod space">Skorokhod space</a></li> <li><a href="/wiki/Snell_envelope" title="Snell envelope">Snell envelope</a></li> <li><a href="/wiki/Stochastic_differential_equation" title="Stochastic differential equation">Stochastic differential equation</a> <ul><li><a href="/wiki/Tanaka_equation" title="Tanaka equation">Tanaka</a></li></ul></li> <li><a href="/wiki/Stopping_time" title="Stopping time">Stopping time</a></li> <li><a href="/wiki/Stratonovich_integral" title="Stratonovich integral">Stratonovich integral</a></li> <li><a href="/wiki/Uniform_integrability" title="Uniform integrability">Uniform integrability</a></li> <li><a href="/wiki/Usual_hypotheses" class="mw-redirect" title="Usual hypotheses">Usual hypotheses</a></li> <li><a href="/wiki/Wiener_space" class="mw-redirect" title="Wiener space">Wiener space</a> <ul><li><a href="/wiki/Classical_Wiener_space" title="Classical Wiener space">Classical</a></li> <li><a href="/wiki/Abstract_Wiener_space" title="Abstract Wiener space">Abstract</a></li></ul></li></ul> </div></td></tr><tr><th scope="row" class="navbox-group" style="width:1%">Disciplines</th><td class="navbox-list-with-group navbox-list navbox-odd hlist" style="width:100%;padding:0"><div style="padding:0 0.25em"> <ul><li><a href="/wiki/Actuarial_mathematics" class="mw-redirect" title="Actuarial mathematics">Actuarial mathematics</a></li> <li><a href="/wiki/Stochastic_control" title="Stochastic control">Control theory</a></li> <li><a href="/wiki/Econometrics" title="Econometrics">Econometrics</a></li> <li><a href="/wiki/Ergodic_theory" title="Ergodic theory">Ergodic theory</a></li> <li><a href="/wiki/Extreme_value_theory" title="Extreme value theory">Extreme value theory (EVT)</a></li> <li><a href="/wiki/Large_deviations_theory" title="Large deviations theory">Large deviations theory</a></li> <li><a href="/wiki/Mathematical_finance" title="Mathematical finance">Mathematical finance</a></li> <li><a href="/wiki/Mathematical_statistics" title="Mathematical statistics">Mathematical statistics</a></li> <li><a href="/wiki/Probability_theory" title="Probability theory">Probability theory</a></li> <li><a href="/wiki/Queueing_theory" title="Queueing theory">Queueing theory</a></li> <li><a href="/wiki/Renewal_theory" title="Renewal theory">Renewal theory</a></li> <li><a href="/wiki/Ruin_theory" title="Ruin theory">Ruin theory</a></li> <li><a href="/wiki/Signal_processing" title="Signal processing">Signal processing</a></li> <li><a href="/wiki/Statistics" title="Statistics">Statistics</a></li> <li><a href="/wiki/Stochastic_analysis" class="mw-redirect" title="Stochastic analysis">Stochastic analysis</a></li> <li><a href="/wiki/Time_series_analysis" class="mw-redirect" title="Time series analysis">Time series analysis</a></li> <li><a href="/wiki/Machine_learning" title="Machine learning">Machine learning</a></li></ul> </div></td></tr><tr><td class="navbox-abovebelow hlist" colspan="2"><div> <ul><li><a href="/wiki/List_of_stochastic_processes_topics" title="List of stochastic processes topics">List of topics</a></li> <li><a href="/wiki/Category:Stochastic_processes" title="Category:Stochastic processes">Category</a></li></ul> </div></td></tr></tbody></table></div>    </div><noscript><img src="https://login.wikimedia.org/wiki/Special:CentralAutoLogin/start?type=1x1" alt="" width="1" height="1" style="border: none; position: absolute;"></noscript> <div class="printfooter" data-nosnippet="">Retrieved from "<a dir="ltr" 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