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

P.E. Chaudru de Raynal

Stochastic Processes and their Applications, 2020, vol. 130, issue 1, 79-107

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.

Keywords: McKean–Vlasov processes; Smoothing effect; Non-linear PDE; Regularization by noise (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:1:p:79-107

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DOI: 10.1016/j.spa.2019.01.006

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