One-dimensional McKean–Vlasov stochastic Volterra equations with Hölder diffusion coefficients

Lijuan Jie, Liangqing Luo and Hua Zhang

Statistics & Probability Letters, 2024, vol. 205, issue C

Abstract: In this paper, based on the tool of Yamada–Watanabe approximation technique, the well-posedness for solutions to one-dimensional McKean–Vlasov stochastic Volterra equations and the rate of the associated propagation of chaos in the sense of Wasserstein distance are established when the diffusion coefficients are Hölder continuous.

Keywords: Well-posedness; Propagation of chaos; McKean–Vlasov stochastic Volterra equations; Hölder continuous; Yamada–Watanabe function (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.109970

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