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

DOI10.1016/J.SPA.2019.01.006MaRDI QIDQ2289779zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 24 January 2020

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

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

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)

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.

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Cited in

(50)

• On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients
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• Weak quantitative propagation of chaos via differential calculus on the space of measures
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• On the convergence of Carathéodory numerical scheme for Mckean-Vlasov equations
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• Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations
• Distribution dependent SDEs driven by additive continuous noise

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