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Strong well posedness of McKean–Vlasov stochastic differential equations with Hölder drift

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  • Chaudru de Raynal, P.E.

Abstract

Here, we prove strong well-posedness for stochastic systems of McKean–Vlasov type with Hölder drift, even in the measure argument, and uniformly non-degenerate Lipschitz diffusion matrix. The Hölder regularity of the drift with respect to the law argument being for the Wasserstein distance.

Suggested Citation

  • Chaudru de Raynal, P.E., 2020. "Strong well posedness of McKean–Vlasov stochastic differential equations with Hölder drift," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 79-107.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:1:p:79-107
    DOI: 10.1016/j.spa.2019.01.006
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    Cited by:

    1. Ning, Ning & Wu, Jing & Zheng, Jinwei, 2024. "One-dimensional McKean–Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients," Stochastic Processes and their Applications, Elsevier, vol. 171(C).
    2. Frikha, Noufel & Li, Libo, 2021. "Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 76-107.
    3. Erny, Xavier, 2022. "Well-posedness and propagation of chaos for McKean–Vlasov equations with jumps and locally Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 192-214.
    4. Sharrock, Louis & Kantas, Nikolas & Parpas, Panos & Pavliotis, Grigorios A., 2023. "Online parameter estimation for the McKean–Vlasov stochastic differential equation," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 481-546.

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