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Journal Articles Annales de l'Institut Henri Poincaré Year : 2023

McKean SDEs with singular coefficients


The paper investigates existence and uniqueness for a stochastic differential equation (SDE) with distributional drift depending on the law density of the solution. Those equations are known as McKean SDEs. The McKean SDE is interpreted in the sense of a suitable singular martingale problem. A key tool used in the investigation is the study of the corresponding Fokker-Planck equation.
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hal-03306570 , version 1 (29-07-2021)
hal-03306570 , version 2 (27-06-2022)



Elena Issoglio, Francesco Russo. McKean SDEs with singular coefficients. Annales de l'Institut Henri Poincaré, 2023, 59 (3), pp.1530-1548. ⟨10.1214/22-AIHP1293⟩. ⟨hal-03306570v2⟩
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