The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition

DOI10.1016/J.MATPUR.2023.10.007MaRDI QIDQ6139820OpenAlexFDO

Authors Xianjin Cheng, Zhenxin Liu

Publication date 19 December 2023

Published in Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2306.09833

zbMATH Keywords

McKean-Vlasov stochastic differential equationsLions derivativegeneralized Itô's formulalocally diffeomorphic property

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: In this paper, we establish the locally diffeomorphic property of the solution to McKean-Vlasov stochastic differential equations defined on the Euclidean space. Our approach is built upon the insightful ideas put forth by Kunita. We observe that although the coefficients satisfy the global Lipschitz condition and some suitable regularity condition, the solution in general does not satisfy the globally homeomorphic property at any time except the initial time, which sets McKean-Vlasov stochastic differential equations apart significantly from classical stochastic differential equations. Finally, we provide an example to complement our results.

Recommendations

• Smoothing properties of McKean-Vlasov SDEs
• McKean-Vlasov SDEs under measure dependent Lyapunov conditions
• Weak Solution and Invariant Probability Measure for McKean-Vlasov SDEs with Integrable Drifts
• scientific article; zbMATH DE number 4015842
• Mean-field stochastic differential equations and associated PDEs

Cites work

• scientific article; zbMATH DE number 3885067 (Why is no real title available?)
• scientific article; zbMATH DE number 3121490 (Why is no real title available?)
• scientific article; zbMATH DE number 5164440 (Why is no real title available?)
• scientific article; zbMATH DE number 3686520 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 3638903 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• A generalized formula of Ito and some other properties of stochastic flows
• A law of large numbers for moderately interacting diffusion processes
• A propagation of chaos result for a system of particles with moderate interaction
• Distribution dependent SDEs for Landau type equations
• Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations
• Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the functional iterated logarithm law
• Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
• Mean field games
• Mean field games. I: The stationary case
• Mean field games. II: Finite horizon and optimal control
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Mean-field stochastic differential equations and associated PDEs
• Smoothing properties of McKean-Vlasov SDEs
• Stability of McKean-Vlasov stochastic differential equations and applications
• Stochastic flows and jump-diffusions
• Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games
• Well-posedness of distribution dependent SDEs with singular drifts
• Wiener processes on manifolds of maps

This page was built for publication: The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6139820)