Stochastic McKean-Vlasov equations (Q1892160): Difference between revisions

Excerpts of author's summary: We prove the existence and uniqueness of solution to the nonlinear local martingale problems for a large class of infinite systems of interacting diffusions. These systems are described as stochastic evolutions in a space of probability measures on \({\mathcal R}^d\) and are obtained as weak limits of the sequence of empirical measures for the finite systems, which are correlated and driven by dependent Brownian motions. Existence is shown to hold under a weak growth condition, while uniqueness is proved using only a weak monotonicity condition on the coefficients. In the case where a dual process exists, uniqueness is proved under continuity of coefficients alone. Finally, we prove that strong continuity of paths holds with respect to various Sobolev norms, provided the appropriate stronger growth condition is verified. Strong solutions are obtained when a coercivity condition is added on to the growth condition guaranteeing existence.