Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space

DOI10.1016/j.matpur.2021.12.001zbMath1494.60063arXiv1811.06904OpenAlexW4200000944WikidataQ114148588 ScholiaQ114148588MaRDI QIDQ2668963

Noufel Frikha, Paul-Eric Chaudru De Raynal

Publication date: 9 March 2022

Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.06904

zbMATH Keywords

weak uniquenessWasserstein spacedensity estimatesMcKean-Vlasov SDEsparametrix expansionbackward Kolmogorov partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Second-order parabolic systems (35K40)

Related Items (18)

Distribution dependent SDEs driven by additive continuous noise ⋮ Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients ⋮ Singular McKean-Vlasov (reflecting) SDEs with distribution dependent noise ⋮ Rate of homogenization for fully-coupled McKean–Vlasov SDEs ⋮ Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel ⋮ Functional law of large numbers and central limit theorem for slow-fast McKean-Vlasov equations ⋮ Path dependent McKean-Vlasov SDEs with Hölder continuous diffusion ⋮ Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients ⋮ Superposition and mimicking theorems for conditional McKean-Vlasov equations ⋮ Exponential ergodicity and propagation of chaos for path-distribution dependent stochastic Hamiltonian system ⋮ Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation ⋮ Pathwise regularisation of singular interacting particle systems and their mean field limits ⋮ Stability of McKean–Vlasov stochastic differential equations and applications ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift ⋮ State-density flows of non-degenerate density-dependent mean field SDEs and associated PDEs

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