Distribution dependent SDEs with singular coefficients

Xing Huang and Feng-Yu Wang

Stochastic Processes and their Applications, 2019, vol. 129, issue 11, 4747-4770

Abstract: Under integrability conditions on distribution dependent coefficients, existence and uniqueness are proved for distribution dependent SDEs with non-degenerate noise. When the coefficients are Dini continuous in the space variable, gradient estimates and Harnack type inequalities are derived. These generalize the corresponding results derived for classical SDEs, and are new in the distribution dependent setting.

Keywords: Distribution dependent SDEs; Krylov’s estimate; Zvonkin’s transform; Log-Harnack inequality (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.spa.2018.12.012

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