English

Existence and Uniqueness for McKean-Vlasov equations with singular interactions

Probability 2023-11-14 v4

Abstract

We investigate the well-posedness of following McKean-Vlasov equation in Rd\mathbb{R}^d: dXt=σ(t,Xt,μXt)dWt+b(t,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} is the law of XtX_t. The existence of solutions is demonstrated when σ\sigma satisfies certain non-degeneracy and continuity assumptions, and when bb meets some integrability conditions, and continuity requirements in the (generalized) total variation distance. Furthermore, uniqueness is established under additional continuity assumptions of a Lipschitz type.

Cite

@article{arxiv.2003.04829,
  title  = {Existence and Uniqueness for McKean-Vlasov equations with singular interactions},
  author = {Guohuan Zhao},
  journal= {arXiv preprint arXiv:2003.04829},
  year   = {2023}
}

Comments

29 pages. All comments are welcome

R2 v1 2026-06-23T14:10:25.391Z