Mean field stochastic differential equations with a discontinuous diffusion coefficient

Jani Nykänen

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arXiv · 2206.11538

Mean field stochastic differential equations with a discontinuous diffusion coefficient

Jani Nykänen

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Abstract

We study $\mathbb{R}^d$-valued mean field stochastic differential equations with a diffusion coefficient depending on the $L_p$-norm of the process in a discontinuous way. We show that under a strong drift there exists a unique global strong solution and consider typical cases where the existence of a global solution fails.

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Jani Nykänen. 2022-06-23. Mean field stochastic differential equations with a discontinuous diffusion coefficient. https://arxiv.org/abs/2206.11538

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