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Existence and Uniqueness for McKean-Vlasov Equations with Singular Interactions

  • Guohuan Zhao

摘要

We investigate the well-posedness of following McKean-Vlasov equation in \(\mathbb {R}^d\) R d : \(\textrm{d} X_t=\sigma (t,X_t, \mu _{X_t})\textrm{d} W_t+b(t, X_t, \mu _{X_t}) \textrm{d} t,\) d X t = σ ( t , X t , μ X t ) d W t + b ( t , X t , μ X t ) d t , where \(\mu _{X_t}\) μ X t is the law of \(X_t\) X t . The existence of solutions is demonstrated when \(\sigma \) σ satisfies certain non-degeneracy and continuity assumptions, and when b meets some integrability conditions, and continuity requirements in the (generalized) total variation distance. Furthermore, uniqueness is established under additional continuity assumptions of a Lipschitz type.