Nonlinear McKean-Vlasov diffusions under the weak Hörmander condition with quantile-dependent coefficients

DOI10.1007/S11118-023-10080-XarXiv2101.04080OpenAlexW3119101024MaRDI QIDQ6152019FDOQ6152019

Authors: Yaozhong Hu, Michael A. Kouritzin, Jiayu Zheng 

Publication date: 11 March 2024

Published in: Potential Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2101.04080

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zbMATH Keywords

Feynman-Kac formulaLangevin equationMcKean-Vlasov equationtwo-sided Gaussian estimatesweak Hörmander conditionquantile-dependent PDE

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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