On pathwise uniqueness of solutions for multidimensional McKean-Vlasov equation

DOI10.1137/S0040585X97T990526zbMATH Open1479.60117arXiv2006.16636MaRDI QIDQ5163528FDOQ5163528

Authors: A. Yu. Veretennikov 

Publication date: 4 November 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Abstract: Pathwise uniqueness for multi-dimensional stochastic McKean--Vlasov equation is established under moderate regularity conditions on the drift and diffusion coefficients. Both drift and diffusion depend on the marginal measure of the solution. For pathwise uniqueness, the drift is assumed to be Dini-continuous in the state variable, while the diffusion must be Lipschitz, continuous in time and uniformly nondegenerate. The setting is classical McKean--Vlasov, that is, coefficients of the equation are represented as integrals over the marginal distributions of the process.

Full work available at URL: https://arxiv.org/abs/2006.16636

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zbMATH Keywords

strong uniquenessMcKean-Vlasov's equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cited In (8)

• Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations
• Title not available (Why is that?)
• Title not available (Why is that?)
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• Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
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