Mckean-Vlasov stochastic differential equations with oblique reflection on non-smooth time dependent domains
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Publication:6408535
arXiv2208.10702MaRDI QIDQ6408535FDOQ6408535
Saisai Yang, Jianliang Zhai, Rong Wei
Publication date: 22 August 2022
Abstract: In this paper, we consider a class of Mckean-Vlasov stochastic differential equation with oblique reflection over an non-smooth time dependent domain. We establish the existence and uniqueness results of this class, address the propagation of chaos and prove a Fredlin-Wentzell type large deviations principle (LDP). One of the main difficulties is raised by the setting of non-smooth time dependent domain. To prove the LDP, a sufficient condition for the weak convergence method, which is suitable for Mckean-Vlasov stochastic differential equation, plays an important role.
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