Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift

DOI10.1016/J.SPA.2019.01.006zbMATH Open1471.60081arXiv1512.08096OpenAlexW2964344381MaRDI QIDQ2289779FDOQ2289779

Yanyan Li

Publication date: 24 January 2020

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

Abstract: In this paper, we prove pathwise uniqueness for stochastic systems of McKean-Vlasov type with singular drift, even in the measure argument, and uniformly non-degenerate Lipschitz diffusion matrix. Our proof is based on Zvonkin's transformation cite{zvonkin_transformation_1974} and so on the regularization properties of the associated PDE, which is stated on the space $[0,T]imes{R}^{d}imesmathcal{P}_2(R^d)$, where $T$ is a positive number, $d$ denotes the dimension equation and $mathcal{P}_2(R^d)$ is the space of probability measures on $R^d$ with finite second order moment. Especially, a smoothing effect in the measure direction is exhibited. Our approach is based on a parametrix expansion of the transition density of the McKean-Vlasov process.

Full work available at URL: https://arxiv.org/abs/1512.08096

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zbMATH Keywords

smoothing effectnon-linear PDEregularization by noiseMcKean-Vlasov processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) Nonlinear first-order PDEs (35F20) Vlasov equations (35Q83)

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Cited In (48)

• Convergence in Monge-Wasserstein distance of mean field systems with locally Lipschitz coefficients
• Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
• Path dependent McKean-Vlasov SDEs with Hölder continuous diffusion
• Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
• Well-posedness and regularity for distribution dependent SPDEs with singular drifts
• Well-posedness of some non-linear stable driven SDEs
• Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models
• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• Distribution dependent SDEs driven by additive fractional Brownian motion
• On Pathwise Uniqueness of Solutions for Multidimensional McKean--Vlasov Equation
• Information upper bound for McKean–Vlasov stochastic differential equations
• On explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations with super-linear drift coefficient
• Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
• State-density flows of non-degenerate density-dependent mean field SDEs and associated PDEs
• Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Stochastic averaging principle for McKean-Vlasov SDEs driven by Lévy noise
• On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions
• McKean SDEs with singular coefficients
• Large deviation principle for McKean-Vlasov SDEs with non-Lipschitz coefficients
• Derivative estimates on distributions of McKean-Vlasov SDEs
• Path-distribution dependent SDEs with singular coefficients
• Maximum likelihood estimation for small noise multi-scale McKean-Vlasov stochastic differential equations
• Harnack inequality for distribution dependent second-order stochastic differential equations
• Higher order regularity of nonlinear Fokker-Planck PDEs with respect to the measure component
• One-dimensional McKean-Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients
• On a class of McKean-Vlasov stochastic functional differential equations with applications
• On the convergence of carathéodory numerical scheme for Mckean-Vlasov equations
• Singular McKean-Vlasov (reflecting) SDEs with distribution dependent noise
• Large deviation principle for multi-scale distribution-dependent stochastic differential equations driven by fractional Brownian motions
• On weak existence of solutions of degenerate McKean-Vlasov equations
• Well-posedness and propagation of chaos for McKean-Vlasov equations with jumps and locally Lipschitz coefficients
• Distribution-dependent SDEs with Hölder continuous drift and \(\alpha\)-stable noise
• Tamed Euler-Maruyama approximation of McKean-Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients
• Wellposedness of conditional McKean-Vlasov equations with singular drifts and regime-switching
• McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance
• McKean-Vlasov SDEs under measure dependent Lyapunov conditions
• The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
• McKean-Vlasov type stochastic differential equations arising from the random vortex method
• Stability of McKean–Vlasov stochastic differential equations and applications
• From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
• Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
• Propagation of chaos: a review of models, methods and applications. II: Applications
• Weak quantitative propagation of chaos via differential calculus on the space of measures
• Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
• A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle
• Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations
• Distribution dependent SDEs driven by additive continuous noise

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