Well-posedness of some non-linear stable driven SDEs

DOI10.3934/DCDS.2020302MaRDI QIDQ2229370zbMATH OpenOpenAlexFDO

Authors Noufel Frikha, V. Konakov, Stéphane Menozzi

Publication date 23 February 2021

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

Full work available at URL https://arxiv.org/abs/1910.05945

zbMATH Keywords

strong uniquenessweak uniquenessMcKean-Vlasov stable SDEsnon-linear martingale problemperturbative techniques of parametrix type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (35R09) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

Abstract: We prove the well-posedness of some non-linear stochastic differential equations in the sense of McKean-Vlasov driven by non-degenerate symmetric $alpha$-stable L'evy processes with values in $R^d$ under some mild H{"o}lder regularity assumptions on the drift and diffusion coefficients with respect to both space and measure variables. The methodology developed here allows to consider unbounded drift terms even in the so-called super-critical case, i.e. when the stability index $alphain(0,1)$. New strong well-posedness results are also derived from the previous analysis.

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