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

页码：351 / 372

页数：22

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