Mishura, Y and Veretennikov, A (2021) Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations. Theory of Probability and Mathematical Statistics, 103. pp. 59-101. ISSN 0094-9000
Abstract
New weak and strong existence and weak and strong uniqueness results for the solutions of multi-dimensional stochastic McKean–Vlasov equation are established under relaxed regularity conditions. Weak existence requires a non-degeneracy of diffusion and no more than a linear growth of both coefficients in the state variable. Weak and strong uniqueness are established under the restricted assumption of diffusion, yet without any regularity of the drift; this part is based on the analysis of the total variation metric.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © Copyright 2020 Taras Shevchenko National University of Kyiv. This is an author produced version of an article published in Theory of Probability and Mathematical Statistics. Uploaded in accordance with the publisher's self-archiving policy. |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 21 Aug 2020 15:49 |
Last Modified: | 17 Jul 2021 02:30 |
Status: | Published |
Publisher: | American Mathematical Society |
Identification Number: | 10.1090/tpms/1135 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:164599 |