We study distribution dependent stochastic differential equation driven by a continuous process, without any specification on its law, following the approach initiated in [17]. We provide several criteria for existence and uniqueness of solutions which go beyond the classical globally Lipschitz setting. In particular we show well-posedness of the equation, as well as almost sure convergence of the associated particle system, for drifts satisfying either Osgood-continuity, monotonicity, local Lipschitz or Sobolev differentiability type assumptions.

Distribution dependent SDEs driven by additive continuous noise

Galeati L;
2022-01-01

Abstract

We study distribution dependent stochastic differential equation driven by a continuous process, without any specification on its law, following the approach initiated in [17]. We provide several criteria for existence and uniqueness of solutions which go beyond the classical globally Lipschitz setting. In particular we show well-posedness of the equation, as well as almost sure convergence of the associated particle system, for drifts satisfying either Osgood-continuity, monotonicity, local Lipschitz or Sobolev differentiability type assumptions.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/244679
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