Nonlinear Fokker-Planck equations driven by Gaussian linear multiplicative noise

Abstract

Existence and uniqueness of a strong solution in $H^{-1}(\mathbb R^d)$ is proved for the stochastic nonlinear Fokker-Planck equation $$dX-{\rm div}(DX)dt-Δβ(X)dt=X\,dW \mbox{ in }(0,T)\times\mathbb R^d,\ X(0)=x,$$ via a corresponding random differential equation. Here $d\geq 1$, $W$ is a Wiener process in $H^{-1}(\mathbb R^d)$, $D\in C^1(\mathbb R^d,\mathbb R^d)$ and $β$ is a continuous monotonically increasing function. The solution exists for $x\in L^1\cap L^\infty$ and preserves positivity. If $β\in L^1_{\rm loc}(\mathbb R)$, the solution is pathwise Lipschitz continuous with respect to initial data in $H^{-1}(\mathbb R^d)$. Stochastic Fokker-Planck equations with nonlinear drift of the form $dX-{\rm div}(a(X))dt-Δβ(X)dt=X\,dW$ are also considered for Lipschitzian continuous functions $a:\mathbb R\to\mathbb R^d$.