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

DOI10.1016/J.JMAA.2022.126301MaRDI QIDQ2673019zbMATH OpenOpenAlexFDO

Authors Xing Huang, Feng-Yu Wang

Publication date 13 June 2022

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

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

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)

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.

Recommendations

• Well-posedness of distribution dependent SDEs with singular drifts
• Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality
• Path-distribution dependent SDEs with singular coefficients
• Distribution dependent SDEs with singular coefficients
• Exponential ergodicity for singular reflecting McKean-Vlasov SDEs

Cites work

• A Zvonkin's transformation for stochastic differential equations with singular drift and applications
• Distribution dependent SDEs for Landau type equations
• Distribution dependent SDEs with singular coefficients
• Distribution dependent reflecting stochastic differential equations
• Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations
• Exponential ergodicity for singular reflecting McKean-Vlasov SDEs
• Fokker-Planck-Kolmogorov equations
• Local limit theorems for transition densities of Markov chains converging to diffusions
• McKean-Vlasov SDEs with drifts discontinuous under Wasserstein distance
• On a strong form of propagation of chaos for McKean-Vlasov equations
• Optimal Transport
• Strong solutions of mean-field stochastic differential equations with irregular drift
• Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift
• Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
• Well-posedness of distribution dependent SDEs with singular drifts
• \(L^q(L^p)\)-theory of stochastic differential equations

Cited in

(28)

• On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients
• Singular McKean-Vlasov SDEs: well-posedness, regularities and Wang's Harnack inequality
• Distribution dependent SDEs with singular coefficients
• Averaging principle for multi-scale McKean-Vlasov SPDEs with locally monotone coefficients
• Well-posedness for McKean-Vlasov SDEs driven by multiplicative stable noises
• Well-posedness and regularity for distribution dependent SPDEs with singular drifts
• Nonlinear Fokker-Planck-Kolmogorov equations
• McKean-Vlasov SDE and SPDE with locally monotone coefficients
• Strong solutions to McKean-Vlasov SDEs associated to a class of degenerate Fokker-Planck equations with coefficients of Nemytskii-type
• Exponential ergodicity for singular reflecting McKean-Vlasov SDEs
• Strong solutions to McKean-Vlasov SDEs with coefficients of Nemytskii-type
• McKean-Vlasov stochastic variational inequalities with oblique subgradients and propagation of chaos
• Well-posedness of distribution dependent SDEs with singular drifts
• Derivative estimates on distributions of McKean-Vlasov SDEs
• McKean SDEs with singular coefficients
• A stochastic approach to the Cauchy-Neumann problem for systems of nonlinear parabolic equations
• Well-posedness and propagation of chaos for McKean-Vlasov stochastic variational inequalities
• Central limit theorem for distribution dependent SDEs with multiplicative fractional noise
• 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
• Strong convergence of Euler scheme for McKean-Vlasov stochastic variational inequalities with locally Hölder continuous diffusion coefficients
• Killed distribution dependent SDE for nonlinear Dirichlet problem
• Log-Harnack inequality and Bismut formula for McKean-Vlasov SDEs with singularities in all variables
• Asymptotic behaviors for distribution dependent stochastic partial differential equations driven by fractional Brownian motion
• Wellposedness of conditional McKean-Vlasov equations with singular drifts and regime-switching
• Path-distribution dependent SDEs: well-posedness and asymptotic log-Harnack inequality
• Probability distance estimates between diffusion processes and applications to singular McKean-Vlasov SDEs
• On nonlinear Markov processes in the sense of McKean

This page was built for publication: Singular McKean-Vlasov (reflecting) SDEs with distribution dependent noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2673019)