Euler scheme for density dependent stochastic differential equations

被引:14
作者
Hao, Zimo [1 ,2 ]
Roeckner, Michael [2 ]
Zhang, Xicheng [1 ]
机构
[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China
[2] Univ Bielefeld, Fak Math, D-33615 Bielefeld, Germany
关键词
Density dependent SDE; Heat kernel; Strong solution; SDES;
D O I
10.1016/j.jde.2020.11.018
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
In this paper we show the existence and uniqueness for a class of density dependent SDEs with bounded measurable drift, where the existence part is based on Euler's approximation for density dependent SDEs and the uniqueness is based on the associated nonlinear Fokker-Planck equation. As an application, we obtain the well-posedness of a nonlinear Fokker-Planck equation. (C) 2020 Elsevier Inc. All rights reserved.
引用
收藏
页码:996 / 1014
页数:19
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