Well-posedness of some non-linear stable driven SDEs
Analysis of PDEs
2019-10-15 v1 Probability
Abstract
We prove the well-posedness of some non-linear stochastic differential equations in the sense of McKean-Vlasov driven by non-degenerate symmetric -stable L\'evy processes with values in under some mild H{\"o}lder regularity assumptions on the drift and diffusion coefficients with respect to both space and measure variables. The methodology developed here allows to consider unbounded drift terms even in the so-called super-critical case, i.e. when the stability index . New strong well-posedness results are also derived from the previous analysis.
Cite
@article{arxiv.1910.05945,
title = {Well-posedness of some non-linear stable driven SDEs},
author = {Noufel Frikha and Valentin Konakov and Stéphane Menozzi},
journal= {arXiv preprint arXiv:1910.05945},
year = {2019}
}
Comments
34 pages