Distribution dependent SDEs driven by additive continuous noise
Probability
2022-03-07 v1 Analysis of PDEs
Abstract
We study distribution dependent stochastic differential equation driven by a continuous process, without any specification on its law, following the approach initiated in [16]. We provide several criteria for existence and uniqueness of solutions which go beyond the classical globally Lipschitz setting. In particular we show well-posedness of the equation, as well as almost sure convergence of the associated particle system, for drifts satisfying either Osgood-continuity, monotonicity, local Lipschitz or Sobolev differentiability type assumptions.
Keywords
Cite
@article{arxiv.2105.14056,
title = {Distribution dependent SDEs driven by additive continuous noise},
author = {Lucio Galeati and Fabian A. Harang and Avi Mayorcas},
journal= {arXiv preprint arXiv:2105.14056},
year = {2022}
}
Comments
39 pages