Well-posedness of distribution dependent SDEs with singular drifts

doi:10.3150/20-BEJ1268

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	Well-posedness of distribution dependent SDEs with singular drifts
	Roeckner, Michael 1,2; Zhang, Xicheng 3
	2021-05-01
发表期刊	BERNOULLI
ISSN	1350-7265
卷号	27 期号:2 页码:1131-1158
摘要	Consider the following distribution dependent SDE: dX(t) = sigma(t)(X-t, mu X-t) dW(t) + b(t)(X-t, mu X-t) dt, where mu X-t stands for the distribution of X-t. In this paper for non-degenerate sigma, we show the strong well-posedness of the above SDE under some integrability assumptions in the spatial variable and Lipschitz continuity in mu about b and sigma. In particular, we extend the results of Krylov-Rockner (Probab. Theory Related Fields 131 (2005) 154-196) to the distribution dependent case.
关键词	Distribution dependent SDEs Zvonkin's transformation singular drifts superposition principle McKean-Vlasov system
DOI	10.3150/20-BEJ1268
收录类别	SCI
语种	英语
资助项目	NNSFC grant of China[11731009] ; DFG[CRC 1283]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000634567600017
出版者	INT STATISTICAL INST
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58397
专题	中国科学院数学与系统科学研究院
通讯作者	Roeckner, Michael
作者单位	1.Univ Bielefeld, Fak Math, D-33615 Bielefeld, Germany 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China
推荐引用方式 GB/T 7714	Roeckner, Michael,Zhang, Xicheng. Well-posedness of distribution dependent SDEs with singular drifts[J]. BERNOULLI,2021,27(2):1131-1158.
APA	Roeckner, Michael,&Zhang, Xicheng.(2021).Well-posedness of distribution dependent SDEs with singular drifts.BERNOULLI,27(2),1131-1158.
MLA	Roeckner, Michael,et al."Well-posedness of distribution dependent SDEs with singular drifts".BERNOULLI 27.2(2021):1131-1158.