McKean SDEs with singular coefficients

DOI10.1214/22-AIHP1293arXiv2107.14453OpenAlexW3188703853MaRDI QIDQ6187891FDOQ6187891

Authors: E. Issoglio, Francesco Russo 

Publication date: 16 January 2024

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: The paper investigates existence and uniqueness for a stochastic differential equation (SDE) with distributional drift depending on the law density of the solution. Those equations are known as McKean SDEs. The McKean SDE is interpreted in the sense of a suitable singular martingale problem. A key tool used in the investigation is the study of the corresponding Fokker-Planck equation.

Full work available at URL: https://arxiv.org/abs/2107.14453

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zbMATH Keywords

stochastic differential equationsmartingale problemMcKeandistributional drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Representations of solutions to partial differential equations (35C99) Generalized solutions to partial differential equations (35D99)

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Cited In (3)

• Stochastic differential equations with singular coefficients: the martingale problem view and the stochastic dynamics view
• On a multi-dimensional McKean-Vlasov SDE with memorial and singular interaction associated to the parabolic-parabolic Keller-Segel model
• On weak existence of solutions of degenerate McKean-Vlasov equations

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