Mean-field stochastic differential equations and associated PDEs

Abstract

In this paper we consider a mean-field stochastic differential equation, also called Mc Kean-Vlasov equation, with initial data $(t,x)\in[0,T]\times R^d,$ which coefficients depend on both the solution $X^{t,x}_s$ but also its law. By considering square integrable random variables $ξ$ as initial condition for this equation, we can easily show the flow property of the solution $X^{t,ξ}_s$ of this new equation. Associating it with a process $X^{t,x,P_ξ}_s$ which coincides with $X^{t,ξ}_s$, when one substitutes $ξ$ for $x$, but which has the advantage to depend only on the law $P_ξ$ of $ξ$, we characterise the function $V(t,x,P_ξ)=E[Φ(X^{t,x,P_ξ}_T,P_{X^{t,ξ}_T})]$ under appropriate regularity conditions on the coefficients of the stochastic differential equation as the unique classical solution of a non local PDE of mean-field type, involving the first and second order derivatives of $V$ with respect to its space variable and the probability law. The proof bases heavily on a preliminary study of the first and second order derivatives of the solution of the mean-field stochastic differential equation with respect to the probability law and a corresponding Itô formula. In our approach we use the notion of derivative with respect to a square integrable probability measure introduced in \cite{PL} and we extend it in a direct way to second order derivatives.