Well-posedness of distribution dependent SDEs with singular drifts
Probability
2019-10-30 v3
Abstract
Consider the following distribution dependent SDE: where stands for the distribution of . In this paper for non-degenerate , we show the strong well-posedness of the above SDE under some integrability assumptions in the spatial variable and Lipschitz continuity in about and . In particular, we extend the results of Krylov-R\"ockner \cite{Kr-Ro} to the distribution dependent case.
Keywords
Cite
@article{arxiv.1809.02216,
title = {Well-posedness of distribution dependent SDEs with singular drifts},
author = {Michael Röckner and Xicheng Zhang},
journal= {arXiv preprint arXiv:1809.02216},
year = {2019}
}
Comments
25 pages