Existence and Uniqueness for McKean-Vlasov Equations with Singular Interactions

被引:0
作者
Zhao, Guohuan [1 ]
机构
[1] Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100190, Peoples R China
基金
中国国家自然科学基金;
关键词
McKean-Vlasov equation; Zvonkin's transformation; Heat kernel estimates; DISTRIBUTION DEPENDENT SDES; SYSTEM;
D O I
10.1007/s11118-024-10148-2
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We investigate the well-posedness of following McKean-Vlasov equation in Rd\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\mathbb {R}<^>d$$\end{document}: dXt=sigma(t,Xt,mu Xt)dWt+b(t,Xt,mu Xt)dt,\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\textrm{d} X_t=\sigma (t,X_t, \mu _{X_t})\textrm{d} W_t+b(t, X_t, \mu _{X_t}) \textrm{d} t,$$\end{document}where mu Xt\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\mu _{X_t}$$\end{document} is the law of Xt\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$X_t$$\end{document}. The existence of solutions is demonstrated when sigma\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\sigma $$\end{document} satisfies certain non-degeneracy and continuity assumptions, and when b meets some integrability conditions, and continuity requirements in the (generalized) total variation distance. Furthermore, uniqueness is established under additional continuity assumptions of a Lipschitz type.
引用
收藏
页码:625 / 653
页数:29
相关论文
共 30 条
[1]   Uniqueness for nonlinear Fokker-Planck equations and weak uniqueness for McKean-Vlasov SDEs [J].
Barbu, Viorel ;
Roeckner, Michael .
STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2021, 9 (03) :702-713
[2]   FROM NONLINEAR FOKKER-PLANCK EQUATIONS TO SOLUTIONS OF DISTRIBUTION DEPENDENT SDE [J].
Barbu, Viorel ;
Roeckner, Michael .
ANNALS OF PROBABILITY, 2020, 48 (04) :1902-1920
[3]   PROBABILISTIC REPRESENTATION FOR SOLUTIONS TO NONLINEAR FOKKER-PLANCK EQUATIONS [J].
Barbu, Viorel ;
Roeckner, Michael .
SIAM JOURNAL ON MATHEMATICAL ANALYSIS, 2018, 50 (04) :4246-4260
[4]   Strong solutions of mean-field stochastic differential equations with irregular drift [J].
Bauer, Martin ;
Meyer-Brandis, Thilo ;
Proske, Frank .
ELECTRONIC JOURNAL OF PROBABILITY, 2018, 23
[5]  
Cardaliaguet P, 2019, Annals of mathematics studies, V201
[6]   Heat kernels for non-symmetric diffusion operators with jumps [J].
Chen, Zhen-Qing ;
Hu, Eryan ;
Xie, Longjie ;
Zhang, Xicheng .
JOURNAL OF DIFFERENTIAL EQUATIONS, 2017, 263 (10) :6576-6634
[7]   Strong well posedness of McKean-Vlasov stochastic differential equations with Holder drift [J].
de Raynal, P. E. Chaudru .
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 130 (0I) :79-107
[8]   Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space [J].
de Raynal, Paul-Eric Chaudru ;
Frikha, Noufel .
JOURNAL DE MATHEMATIQUES PURES ET APPLIQUEES, 2022, 159 :1-167
[9]   Existence and uniqueness of martingale solutions for SDEs with rough or degenerate coefficients [J].
Figalli, Alessio .
JOURNAL OF FUNCTIONAL ANALYSIS, 2008, 254 (01) :109-153
[10]  
Fournier N, 2017, ANN SCI ECOLE NORM S, V50, P157