Path-Distribution Dependent SDEs with Singular Coefficients
Probability
2019-02-26 v1
Abstract
In this paper, existence and uniqueness are proved for path-dependent McKean-Vlasov type SDEs with integrability conditions. Gradient estimates and Harnack type inequalities are derived in the case that the coefficients are Dini continuous in the space variable. These generalize the corresponding results derived for classical functional SDEs with singular coefficients.
Cite
@article{arxiv.1902.08953,
title = {Path-Distribution Dependent SDEs with Singular Coefficients},
author = {Xing Huang},
journal= {arXiv preprint arXiv:1902.08953},
year = {2019}
}
Comments
21pages. arXiv admin note: text overlap with arXiv:1805.01682