Long-time behaviour for distribution dependent SDEs with local Lipschitz coefficients

Shan-Shan Hu

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arXiv · 2103.13101

Long-time behaviour for distribution dependent SDEs with local Lipschitz coefficients

Shan-Shan Hu

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Abstract

By using a classical truncated argument and introducing the local Wasserstein distance, the global existence and uniqueness are proved for the distribution dependent SDEs with local Lipschitz coefficients. Due to the measure dependence, the conditions in the sense of pointwise for classical cases can be simplified to the conditions in the sense of integral. On the basis of the well-posedness, we prove the $r$-th moment exponential stability using the measure dependent Lyapunov functions and the existence and uniqueness of invariant probability measure is studied under the integrated strong monotonicity condition. Finally, some examples are given to illustrate the results in this paper.

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Shan-Shan Hu. 2021-03-24. Long-time behaviour for distribution dependent SDEs with local Lipschitz coefficients. https://arxiv.org/abs/2103.13101

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