Well-posedness of some non-linear stable driven SDEs

DOI10.3934/DCDS.2020302zbMATH Open1477.60086arXiv1910.05945OpenAlexW2979941242MaRDI QIDQ2229370FDOQ2229370

Authors: Noufel Frikha, V. Konakov, Stéphane Menozzi 

Publication date: 23 February 2021

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

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.

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

Recommendations

• Weak well-posedness of multidimensional stable driven SDEs in the critical case
• On multidimensional stable-driven stochastic differential equations with Besov drift
• Supercritical SDEs driven by multiplicative stable-like Lévy processes
• Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
• Nonlinear SDEs driven by L\'evy processes and related PDEs

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)

Cites Work

• Estimates of tempered stable densities
• Optimal Transport
• On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem
• Elliptic and Parabolic Second-Order PDEs with Growing Coefficients
• Title not available (Why is that?)
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• Title not available (Why is that?)
• Asymptotic estimates of multi-dimensional stable densities and their applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• A certain class of diffusion processes associated with nonlinear parabolic equations
• Symmetric Stable Laws and Stable-Like Jump-Diffusions
• Central limit theorem for a system of Markovian particles with mean field interactions
• A martingale approach to the law of large numbers for weakly interacting stochastic processes
• Probabilistic approximation and inviscid limits for one-dimensional fractional conservation laws
• Nonlinear SDEs driven by L\'evy processes and related PDEs
• A probabilistic approach for nonlinear equations involving the fractional Laplacian and a singular operator
• Pathwise uniqueness for singular SDEs driven by stable processes
• Perturbation of drift-type for Levy processes
• On the McKean-Vlasov Limit for Interacting Diffusions
• Diffusions with a nonlinear irregular drift coefficient and probabilistic interpretation of generalized Burgers' equations
• Weak error for stable driven stochastic differential equations: expansion of the densities
• A parametrix approach for some degenerate stable driven SDEs
• Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
• \(L^p\) estimates for degenerate non-local Kolmogorov operators
• On a strong form of propagation of chaos for McKean-Vlasov equations
• Davie's type uniqueness for a class of SDEs with jumps
• Schauder estimates for drifted fractional operators in the supercritical case
• Schauder estimates for nonlocal kinetic equations and applications
• Stochastic differential equations driven by stable processes for which pathwise uniqueness fails
• Nonlinear diffusion with jumps
• Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games
• Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift

Cited In (13)

• Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
• Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
• Well-posedness of SDEs with drifts in mixed-norm spaces and driven by mixed-noises
• Nonlinear SDEs driven by L\'evy processes and related PDEs
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients
• Supercritical SDEs driven by multiplicative stable-like Lévy processes
• On multidimensional stable-driven stochastic differential equations with Besov drift
• Nonlinear diffusions and stable-like processes with coefficients depending on the median or var
• Weak well-posedness of multidimensional stable driven SDEs in the critical case
• Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
• Weak uniqueness for SDEs driven by supercritical stable processes with Hölder drifts
• On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients

This page was built for publication: Well-posedness of some non-linear stable driven SDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2229370)