McKean SDEs with singular coefficients - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2021

McKean SDEs with singular coefficients

Résumé

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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Dates et versions

hal-03306570 , version 1 (29-07-2021)
hal-03306570 , version 2 (27-06-2022)

Identifiants

Citer

Elena Issoglio, Francesco Russo. McKean SDEs with singular coefficients. 2021. ⟨hal-03306570v1⟩
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