{"title":"具有奇异系数的McKean SDEs","authors":"Elena Issoglio, F. Russo","doi":"10.1214/22-aihp1293","DOIUrl":null,"url":null,"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.","PeriodicalId":42884,"journal":{"name":"Annales de l Institut Henri Poincare D","volume":null,"pages":null},"PeriodicalIF":1.5000,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"McKean SDEs with singular coefficients\",\"authors\":\"Elena Issoglio, F. Russo\",\"doi\":\"10.1214/22-aihp1293\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":42884,\"journal\":{\"name\":\"Annales de l Institut Henri Poincare D\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2021-07-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annales de l Institut Henri Poincare D\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1214/22-aihp1293\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"PHYSICS, MATHEMATICAL\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annales de l Institut Henri Poincare D","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/22-aihp1293","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"PHYSICS, MATHEMATICAL","Score":null,"Total":0}
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.
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