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arXiv · 1512.08096

Strong well-posedness of McKean-Vlasov stochastic differential equation with H{ö}lder drift

Paul-Eric Chaudru de Raynal
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Abstract

In this paper, we prove pathwise uniqueness for stochastic systems of McKean-Vlasov type with singular drift, even in the measure argument, and uniformly non-degenerate Lipschitz diffusion matrix. Our proof is based on Zvonkin's transformation \cite{zvonkin\_transformation\_1974} and so on the regularization properties of the associated PDE, which is stated on the space $[0,T]\times \R^d\times \mathcal{P}\_2(\R^d)$, where $T$ is a positive number, $d$ denotes the dimension equation and $\mathcal{P}\_2(\R^d)$ is the space of probability measures on $\R^d$ with finite second order moment. Especially, a smoothing effect in the measure direction is exhibited. Our approach is based on a parametrix expansion of the transition density of the McKean-Vlasov process.

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Paul-Eric Chaudru de Raynal. 2016-03-03. Strong well-posedness of McKean-Vlasov stochastic differential equation with H{ö}lder drift. https://arxiv.org/abs/1512.08096

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