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

DOI10.1016/J.MATPUR.2023.10.007arXiv2306.09833OpenAlexW4388460288MaRDI QIDQ6139820FDOQ6139820

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)

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.

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)

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