Mean-field stochastic differential equations with a discontinuous diffusion coefficient

被引：0
|
作者：
Nykanen, Jani [1 ]
机构：
[1] Univ Jyvaskyla, Dept Math & Stat, POB 35, FI-40014 Jyvaskyla, Finland
来源：
PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK | 2023年 / 8卷 / 03期
关键词：
Mean-field stochastic differential equation; Discontinuous diffusion coefficient; Existence and nonexistence of strong solutions in Lp;
D O I：
10.3934/puqr.2023016
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study Rd-valued mean-field stochastic differential equations with a diffusion coefficient that varies in a discontinuous manner on the Lp-norm of the process. We establish the existence of a unique global strong solution in the presence of a robust drift, while also investigating scenarios where the presence of a global solution is not assured.
引用
收藏
页码：351 / 372
页数：22
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