Existence of invariant probability measures for functional McKean-Vlasov SDEs

Jianhai Bao; Michael Scheutzow; Chenggui Yuan

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arXiv · 2107.13881

Existence of invariant probability measures for functional McKean-Vlasov SDEs

Jianhai Bao·Michael Scheutzow·Chenggui Yuan

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Abstract

We show existence of an invariant probability measure for a class of functional McKean-Vlasov SDEs by applying Kakutani's fixed point theorem to a suitable class of probability measures on a space of continuous functions. Unlike some previous works, we do not assume a monotonicity condition to hold. Further, our conditions are even weaker than some results in the literature on invariant probability measures for functional SDEs without dependence on the law of the solution.

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Jianhai Bao, Michael Scheutzow, Chenggui Yuan. 2021-07-29. Existence of invariant probability measures for functional McKean-Vlasov SDEs. https://arxiv.org/abs/2107.13881

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