Singular McKean-Vlasov (reflecting) SDEs with distribution dependent noise

DOI10.1016/J.JMAA.2022.126301zbMATH Open1487.60108arXiv2012.05014OpenAlexW4206858722MaRDI QIDQ2673019FDOQ2673019

Authors: Xing Huang, Feng-Yu Wang 

Publication date: 13 June 2022

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: By using Zvonkin's transformation and a two-step fixed point argument in distributions, the well-posedness and regularity estimates are derived for singular McKean-Vlasov SDEs with distribution dependent noise, where the drift contains a term growing linearly in space and distribution and a locally integrable term independent of distribution, while the noise coefficient is weakly differentiable in space and Lipschitz continuous in distribution with respect to the sum of Wasserstein and weighted variation distances. The main results extend existing ones derived for noise coefficients either independent of distribution, or having nice linear functional derivatives in distribution. Singular reflecting SDEs with distribution dependent noise are also studied.

Full work available at URL: https://arxiv.org/abs/2012.05014

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zbMATH Keywords

Wasserstein distanceMcKean-Vlasov SDEstwo-step fixed point argumentweighted variation distance

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (12)

• Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality
• Distribution dependent SDEs with singular coefficients
• McKean-Vlasov SDE and SPDE with locally monotone coefficients
• Exponential ergodicity for singular reflecting McKean-Vlasov SDEs
• Strong solutions to McKean-Vlasov SDEs with coefficients of Nemytskii-type
• A stochastic approach to the Cauchy-Neumann problem for systems of nonlinear parabolic equations
• Harnack inequality for distribution dependent second-order stochastic differential equations
• One-dimensional McKean-Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients
• Killed distribution dependent SDE for nonlinear Dirichlet problem
• Wellposedness of conditional McKean-Vlasov equations with singular drifts and regime-switching
• Probability distance estimates between diffusion processes and applications to singular McKean-Vlasov SDEs
• On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients

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