Well-posedness and propagation of chaos for McKean-Vlasov equations with jumps and locally Lipschitz coefficients

DOI10.1016/J.SPA.2022.04.012zbMATH Open1491.60139arXiv2102.06472OpenAlexW3132102332MaRDI QIDQ2145774FDOQ2145774

Xavier Erny

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study McKean-Vlasov equations where the coefficients are locally Lipschitz continuous. We prove the strong well-posedness and a propagation of chaos property in this framework. These questions can be treated with classical arguments under the assumptions that the coefficients are globally Lipschitz continuous. In the locally Lipschitz case, we use truncation arguments and Osgood's lemma instead of Gr"onwall's lemma. This approach entails technical difficulties in the proofs, in particular for the existence of solution of the McKean-Vlasov equations that are considered. This proof relies on a Picard iteration scheme that is not guaranteed to converge in an $L^1-$sense because the coefficients are not Lipschitz continuous. However, we still manage to prove its convergence in distribution, and the (strong) well-posedness of the equation using a generalization of Yamada and Watanabe results.

Full work available at URL: https://arxiv.org/abs/2102.06472

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zbMATH Keywords

interacting particle systemspropagation of chaosmean field interactionMcKean-Vlasov equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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Cited In (12)

• Coupled McKean-Vlasov equations over convex domains
• Optimal stopping of conditional McKean-Vlasov jump diffusions
• On a strong form of propagation of chaos for McKean-Vlasov equations
• Impulse control of conditional McKean-Vlasov jump diffusions
• McKean-Vlasov SDE and SPDE with locally monotone coefficients
• Propagation of chaos for the Vlasov–Poisson–Fokker–Planck equation with a polynomial cut-off
• Title not available (Why is that?)
• Conditional McKean-Vlasov SDEs with jumps and Markovian regime-switching: wellposedness, propagation of chaos, averaging principle
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• Propagation of chaos for weakly interacting mild solutions to stochastic partial differential equations

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