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arXiv · 2012.05014

Singular McKean-Vlasov (Reflecting) SDEs with Distribution Dependent Noise

Xing Huang·Feng-Yu Wang
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Abstract

By using Zvonkin's transformation and a two-step fixed point argument in distributions, the well-posedness and regularity estimates are derived for singular McKean-Vlasov SDEs with distribution dependent noise, where the drift contains a term growing linearly in space and distribution and a locally integrable term independent of distribution, while the noise coefficient is weakly differentiable in space and Lipschitz continuous in distribution with respect to the sum of Wasserstein and weighted variation distances. The main results extend existing ones derived for noise coefficients either independent of distribution, or having nice linear functional derivatives in distribution. Singular reflecting SDEs with distribution dependent noise are also studied.

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Xing Huang, Feng-Yu Wang. 2020-12-09. Singular McKean-Vlasov (Reflecting) SDEs with Distribution Dependent Noise. https://arxiv.org/abs/2012.05014

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