The Donsker delta function and local time for McKean-Vlasov processes and applications

Nacira Agram; Bernt Øksendal

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arXiv · 2302.12522

The Donsker delta function and local time for McKean-Vlasov processes and applications

Nacira Agram·Bernt Øksendal

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Abstract

The purpose of this paper is to establish a stochastic differential equation for the Donsker delta measure of the solution of a McKean-Vlasov (mean-field) stochastic differential equation. If the Donsker delta measure is absolutely continuous with respect to Lebesgue measure, then its Radon-Nikodym derivative is called the Donsker delta function. In that case it can be proved that the local time of such a process is simply the integral with respect to time of the Donsker delta function. Therefore we also get an equation for the local time of such a process. For some particular McKean-Vlasov processes, we find explicit expressions for their Donsker delta functions and hence for their local times.

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BibTeX RIS

Nacira Agram, Bernt Øksendal. 2023-02-24. The Donsker delta function and local time for McKean-Vlasov processes and applications. https://arxiv.org/abs/2302.12522

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