Density Dependent Singular Stochastic Differential Equations
Probability
2023-09-11 v5
Abstract
The (strong and weak) well-posedness is proved for singular SDEs depending on the distribution density point-wisely and globally, where the drift satisfies a local integrability condition in time-spatial variables, and is Lipschitz continuous in the distribution density with respect to a local -norm. Density dependent reflecting SDEs are also studied.
Cite
@article{arxiv.2112.13026,
title = {Density Dependent Singular Stochastic Differential Equations},
author = {Feng-Yu Wang},
journal= {arXiv preprint arXiv:2112.13026},
year = {2023}
}
Comments
25 pages