First order equation on random measures as superposition of weak solutions to the McKean-Vlasov equation

Abstract

The goal of this paper is to define an evolution equation for a curve of random probability measures $(M_t)_{t\in[0,T]}\subset \mathcal{P}(\mathcal{P}(\mathbb{R}^d))$ associated to a non-local drift $b:[0,T]\times\mathbb{R}^d \times \mathcal{P}(\mathbb{R}^d) \to \mathbb{R}^d$ and a non-local diffusion term $a:[0,T]\times \mathbb{R}^d \times \mathcal{P}(\mathbb{R}^d) \to \operatorname{Sym}_+(\mathbb{R}^{d\times d})$. Then, we show that any solution to such an equation on random measures can be lifted twice: to a superposition of solutions to a non-linear Kolmogorov-Fokker-Planck equation and to a superposition of weak solutions to the McKean-Vlasov equations. Finally, we exploit this nested superposition result to show how existence and uniqueness can be transferred from the equation on random measures to the associated non-linear Kolmogorov-Fokker-Planck equation and to the McKean-Vlasov equation, assuming uniqueness of the linearized version of KFP. As a tool, we will introduce integral metrics over the spaces of probability measures $\mathcal{P}(\mathbb{R}^d)$ in duality with smooth functions, including a weighted second-order metric.