Uniqueness for contagious McKean-Vlasov systems in the weak feedback regime
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Publication:3300086
Singular nonlinear boundary value problems for ordinary differential equations (34B16) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Random measures (60G57) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interacting particle systems in time-dependent statistical mechanics (82C22) Financial applications of other theories (91G80)
Abstract: We present a simple uniqueness argument for a collection of McKean-Vlasov problems that have seen recent interest. Our first result shows that, in the weak feedback regime, there is global uniqueness for a very general class of random drivers. By weak feedback we mean the case where the contagion parameters are small enough to prevent blow-ups in solutions. Next, we specialise to a Brownian driver and show how the same techniques can be extended to give short-time uniqueness after blow-ups, regardless of the feedback strength. The heart of our approach is a surprisingly simple probabilistic comparison argument that is robust in the sense that it does not ask for any regularity of the solutions.
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Cited in
(19)- At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem
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