Killed distribution dependent SDE for nonlinear Dirichlet problem

DOI10.3934/DCDSS.2022205MaRDI QIDQ6107301zbMATH OpenOpenAlexFDO

Authors Feng-Yu Wang

Publication date 3 July 2023

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.09115

zbMATH Keywords

coupling by projectionkilled distribution dependent SDEnonlinear Dirichlet problemwell-posedness

Mathematics Subject Classification ID

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

Abstract: To characterize nonlinear Dirichlet problems in an open domain, we investigate killed distribution dependent SDEs. By constructing the coupling by projection and using the Zvonkin/Girsanov transforms, the well-posedness is proved for three different situations: 1) monotone case with distribution dependent noise (possibly degenerate), 2) singular case with non-degenerate distribution dependent noise, and 3) singular case with non-degenerate distribution independent noise. In the first two cases the domain is $C^2$ smooth such that the Lipschitz continuity in initial distributions is also derived, and in the last case the domain is arbitrary.

Review text

The distribution dependent stochastic differential equation (DDSDE) is a crucial probability model characterizing the nonlinear Fokker-Planck equation. The author investigates killed DDSDE to characterize nonlinear Dirichlet problems in an open domain. By constructing the coupling by projection and using the Zvonkin/Girsanov transforms, the well-posedness is proved for three different situations: 1) monotone case with distribution dependent noise (possibly degenerate); 2) singular case with non-degenerate distribution dependent noise; 3) singular case with non-degenerate distribution independent noise. In the first two cases the domain is \(C^2\) smooth such that the Lipschitz continuity in initial distributions is also derived, and in the last case the domain is arbitrary.

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Cites work

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Cited in

(6)

• Distribution dependent SDEs for Landau type equations
• Distribution dependent stochastic differential equations
• Killed Brownian motion with a prescribed lifetime distribution and models of default
• Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions
• Distribution dependent reflecting stochastic differential equations
• Bismut formula and gradient estimates for Dirichlet semigroups with application to singular killed DDSDEs

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