This paper concerns the McKean–Vlasov stochastic differential equation (SDE) with
common noise. An appropriate definition of a weak solution to such an equation is …

In this paper, we first establish well-posedness of McKean–Vlasov stochastic differential
equations (McKean–Vlasov SDEs) with common noise, possibly with coefficients of super …

We consider the supercooled Stefan problem, which captures the freezing of a supercooled
liquid, in one space dimension. A probabilistic reformulation of the problem allows us to …

This article provides a case study for a recently introduced diffusion in the space of
probability measures over the reals, namely rearranged stochastic heat, which solves a …

Supercooled Stefan problems describe the evolution of the boundary between the solid and
liquid phases of a substance, where the liquid is assumed to be cooled below its freezing …

In this work we provide a simple setting that connects the structural modeling approach of
Gai--Kapadia interbank networks with the mean-field approach to default contagion. To …

We consider the problem faced by a central bank which bails out distressed financial
institutions that pose systemic risk to the banking sector. In a structural default model with …

We consider a family of McKean-Vlasov equations arising as the large particle limit of a
system of interacting particles on the positive half-line with common noise and feedback …

This paper is concerned with the analysis of blow-ups for two McKean–Vlasov equations
involving hitting times. Let (B (t); t≥ 0) be standard Brownian motion, and τ:= inf {t≥ 0: X (t)≤ …

We present a simple uniqueness argument for a collection of McKean–Vlasov problems that
have seen recent interest. Our first result shows that, in the weak feedback regime, there is …