McKean SDEs with singular coefficients

Elena Issoglio and Francesco Russo
submitted
Publication type:
Paper in peer-reviewed journals
Journal:
Preprint hal-03306570
arXiv:
assets/images/icons/icon_arxiv.png 2107.14453
Keywords :
Stochastic differential equations; distributional drift; McKean; Martingale problem.
Abstract:
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.
BibTeX:
@article{Iss-Rus-2200,
    author={Elena Issoglio and Francesco Russo },
    title={McKean SDEs with singular coefficients },
    journal={Preprint hal-03306570 },
    year={submitted },
}