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

DOI10.1214/20-AIHP1136MaRDI QIDQ2077366zbMATH OpenOpenAlexFDO

Authors Victor Marx

Publication date 25 February 2022

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

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

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)

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.

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Cited in

(1)

• Weak existence and uniqueness for McKean-Vlasov SDEs with common noise

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