Infinite-dimensional regularization of McKean-Vlasov equation with a Wasserstein diffusion

DOI10.1214/20-AIHP1136zbMATH Open1487.60115arXiv2002.10157OpenAlexW3209430591MaRDI QIDQ2077366FDOQ2077366

Authors: Victor Marx 

Publication date: 25 February 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: Much effort has been spent in recent years on restoring uniqueness of McKean-Vlasov SDEs with non-smooth coefficients. As a typical instance, the velocity field is assumed to be bounded and measurable in its space variable and Lipschitz-continuous with respect to the distance in total variation in its measure variable, see [Jourdain, Mishura-Veretennikov]. In contrast with those works, we consider in this paper a Fokker-Planck equation driven by an infinite-dimensional noise, inspired by the diffusion models on the Wasserstein space studied in [Konarovskyi, Marx]. We prove that well-posedness of that equation holds for a drift function that might be only bounded and measurable in its measure argument, provided that a trade-off is respected between the regularity in the finite-dimensional component and the regularity in the measure argument. In this regard, we show that the higher the regularity of b with respect to its space variable is, the lower regularity we have to assume on b with respect to its measure variable in order to restore uniqueness.

Full work available at URL: https://arxiv.org/abs/2002.10157

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zbMATH Keywords

Fokker-Planck equationinteracting particle systemMcKean-Vlasov equationBrownian sheetWasserstein diffusionregularization propertiescoalescing particlesrestoration of uniqueness

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Vlasov equations (35Q83)

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Cited In (1)

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