Mean field stochastic differential equations with a discontinuous diffusion coefficient
Probability
2023-09-06 v3
Abstract
We study -valued mean field stochastic differential equations with a diffusion coefficient depending on the -norm of the process in a discontinuous way. We show that under a strong drift there exists a unique global strong solution and consider typical cases where the existence of a global solution fails.
Cite
@article{arxiv.2206.11538,
title = {Mean field stochastic differential equations with a discontinuous diffusion coefficient},
author = {Jani Nykänen},
journal= {arXiv preprint arXiv:2206.11538},
year = {2023}
}