McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance

DOI10.3934/DCDS.2020336zbMATH Open1466.60119arXiv2002.06877OpenAlexW3093290141MaRDI QIDQ1995563FDOQ1995563

Authors: Xing Huang, Feng-Yu Wang 

Publication date: 24 February 2021

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Abstract: Existence and uniqueness are proved for Mckean-Vlasov type distribution dependent SDEs with singular drifts satisfying an integrability condition in space variable and the Lipschitz condition in distribution variable with respect to $W_0$ or $W_0+W_{h}eta$ for some $hetage1$, where $W_0$ is the total variation distance and $W_{h}eta$ is the $L^{h}eta$-Wasserstein distance. This improves some existing results where the drift is either locally bounded in the space variable or continuous in the distribution variable with respect to the Wasserstein distance.

Full work available at URL: https://arxiv.org/abs/2002.06877

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zbMATH Keywords

Wasserstein distancetotal variation distanceKrylov's estimateZvonkin's transformdistribution dependent SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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Cited In (35)

• Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality
• Distribution dependent stochastic differential equations
• Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
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