Abstract
Consider the following distribution dependent SDE:
where stands for the distribution of . In this paper for non-degenerate σ, we show the strong well-posedness of the above SDE under some integrability assumptions in the spatial variable and Lipschitz continuity in μ about b and σ. In particular, we extend the results of Krylov–Röckner (Probab. Theory Related Fields 131 (2005) 154–196) to the distribution dependent case.
Citation
Michael Röckner. Xicheng Zhang. "Well-posedness of distribution dependent SDEs with singular drifts." Bernoulli 27 (2) 1131 - 1158, May 2021. https://doi.org/10.3150/20-BEJ1268
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