McKean SDEs with singular coefficients
Probability
2022-06-28 v2
Abstract
The paper investigates existence and uniqueness for a stochastic differential equation (SDE) with distributional drift depending on the law density of the solution. Those equations are known as McKean SDEs. The McKean SDE is interpreted in the sense of a suitable singular martingale problem. A key tool used in the investigation is the study of the corresponding Fokker-Planck equation.
Keywords
Cite
@article{arxiv.2107.14453,
title = {McKean SDEs with singular coefficients},
author = {Elena Issoglio and Francesco Russo},
journal= {arXiv preprint arXiv:2107.14453},
year = {2022}
}