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arXiv · 2402.11053

Well-posedness and propagation of chaos for McKean-Vlasov stochastic variational inequalities

Ning Ning·Jing Wu
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Abstract

In this paper, we study a broad class of McKean-Vlasov stochastic variational inequalities (MVSVIs), where both the drift coefficient $b$ and the diffusion coefficient $\sigma$ depend on time $t$, the state $X_t$ and its distribution $\mu_t$. We establish the strong well-posedness, when $b$ is superlinear growth and locally Lipschitz continuous, and $\sigma$ is locally H\"older continuous, both with respect to $X_t$ and $\mu_t$. Additionally, we present the first propagation of chaos result for MVSVIs.

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BibTeXRIS

Ning Ning, Jing Wu. 2024-02-16. Well-posedness and propagation of chaos for McKean-Vlasov stochastic variational inequalities. https://arxiv.org/abs/2402.11053

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