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Well-posedness of distribution dependent SDEs with singular drifts

Probability 2019-10-30 v3

Abstract

Consider the following distribution dependent SDE: dXt=σt(Xt,μXt)dWt+bt(Xt,μXt)dt, {\mathrm d} X_t=\sigma_t(X_t,\mu_{X_t}){\mathrm d} W_t+b_t(X_t,\mu_{X_t}){\mathrm d} t, where μXt\mu_{X_t} stands for the distribution of XtX_t. In this paper for non-degenerate σ\sigma, we show the strong well-posedness of the above SDE under some integrability assumptions in the spatial variable and Lipschitz continuity in μ\mu about bb and σ\sigma. 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}
}

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25 pages