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The solution of a class of linear stochastic partial differential equations is approximated using Clark's robust representation approach. The ensuing approximations are shown to coincide with the time marginals of solutions of a certain McKean–Vlasov type equation. We prove existence and uniqueness of the solution of the McKean–Vlasov equation.
2. In (Equation21) the coefficients
are those specified in formula (Equation20
).
3. See conditions SM + ES in Section 6.
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