 One-dimensional McKean–Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficientsNing Ning, Jing Wu and Jinwei Zheng Stochastic Processes and their Applications, 2024, vol. 171, issue C Abstract: In this article, we investigate three classes of equations: the McKean–Vlasov stochastic differential equation (MVSDE), the MVSDE with a subdifferential operator referred to as the McKean–Vlasov stochastic variational inequality (MVSVI), and the coupled forward–backward MVSVI. The latter class encompasses the FBSDE with reflection in a convex domain as a special case. We establish the well-posedness, in terms of the existence and uniqueness of a strong solution, for these three classes in their general forms. Importantly, we consider stochastic coefficients with locally Hölder continuity and employ different strategies to achieve that for each class. Keywords: McKean–Vlasov SDEs; Variational inequalities; Locally Lipschitz; Locally Hölder continuous; Well-posedness; One-dimensional (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:171:y:2024:i:c:s0304414924000218 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2024.104315 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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