Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients
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Publication:6152019
Abstract: In this paper, the strong existence and uniqueness for a degenerate finite system of quantile-dependent McKean-Vlasov stochastic differential equations are obtained under a weak H"{o}rmander condition. The approach relies on the apriori bounds for the density of the solution to time inhomogeneous diffusions. The time inhomogeneous Feynman-Fac formula is used to construct a contraction map for this degenerate system.
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