Euler scheme for density dependent stochastic differential equations
Probability
2020-07-31 v1
Abstract
In this paper we show the existence and uniqueness for a class of density dependent SDEs with bounded measurable drift, where the existence part is based on Euler's approximation for density dependent SDEs and the uniqueness is based on the associated nonlinear Fokker-Planck equation. As an application, we obtain the well-posedness of a nonlinear Fokker-Planck equation.
Cite
@article{arxiv.2007.15426,
title = {Euler scheme for density dependent stochastic differential equations},
author = {Zimo Hao and Michael Röckner and Xicheng Zhang},
journal= {arXiv preprint arXiv:2007.15426},
year = {2020}
}
Comments
13pages