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. The equations are a model for Vlasov equation and were first studied by Henry McKean in 1966.
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- 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.
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