Path-distribution dependent SDEs with singular coefficients
Copyright policy )Path-distribution dependent SDEs with singular coefficients
In this paper, existence and uniqueness are proved for path-dependent McKean-Vlasov type SDEs with integrability conditions. Gradient estimates and Harnack type inequalities are derived in the case that the coefficients are Dini continuous in the space variable. These generalize the corresponding results derived for classical functional SDEs with singular coefficients.
21pages. arXiv admin note: text overlap with arXiv:1805.01682
- Tianjin University China (People's Republic of)
- Tianjin University China (People's Republic of)
- Tianjin University China (People's Republic of)
- Tianjin University China (People's Republic of)
- Hebei University China (People's Republic of)
Harnack inequality, Krylov's estimate, Probability (math.PR), FOS: Mathematics, Zvonkin's transform, Martingales with continuous parameter, Mathematics - Probability, Stochastic ordinary differential equations (aspects of stochastic analysis), path-distribution dependent SDEs
Harnack inequality, Krylov's estimate, Probability (math.PR), FOS: Mathematics, Zvonkin's transform, Martingales with continuous parameter, Mathematics - Probability, Stochastic ordinary differential equations (aspects of stochastic analysis), path-distribution dependent SDEs
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