Solving mean field rough differential equations

DOI10.1214/19-EJP409MaRDI QIDQ2184580zbMATH OpenOpenAlexFDO

Authors I. Bailleul, R. Catellier, François Delarue

Publication date 29 May 2020

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.05882, https://projecteuclid.org/euclid.ejp/1581044444

zbMATH Keywords

mean field interactionregularity assumptionsrandom rough differential equationscontrolled paths

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Regularity structures (60L30)

Abstract: We provide in this work a robust solution theory for random rough differential equations of mean field type ${\displaystyle }$ dX_t = V(X_t,mathcal{L}(X_t))dt + F(X_t,mathcal{L}(X_t))dW_t, ${\displaystyle }$ where $W$ is a random rough path and $mathcalL(X_t)$ stands for the law of $X_t$, with mean field interaction in both the drift and diffusivity. The analysis requires the introduction of a new rough path-like setting and an associated notion of controlled path. We use crucially Lions' approach to differential calculus on Wasserstein space along the way.

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