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arXiv · 2108.05802

Weak Solution and Invariant Probability Measure for McKean-Vlasov SDEs with Integrable Drifts

Xing Huang·Shen Wang·Fen-Fen Yang
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Abstract

In this paper, by utilizing Wang's Harnack inequality with power and the Banach fixed point theorem, the weak well-posedness for McKean-Vlasov SDEs with integrable drift is investigated. In addition, using the decoupled method, some regularity such as relative entropy and Sobolev's estimate of invariant probability measure are proved. Finally, by Banach's fixed theorem, the existence and uniqueness of invariant probability measure for symmetric McKean-Vlasov SDEs and stochastic Hamiltonian system with integrable drifts are obtained.

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Xing Huang, Shen Wang, Fen-Fen Yang. 2021-08-12. Weak Solution and Invariant Probability Measure for McKean-Vlasov SDEs with Integrable Drifts. https://arxiv.org/abs/2108.05802

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