McKean SDEs with singular coefficients

arxiv(2022)

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摘要
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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关键词
Stochastic differential equations, Distributional drift, McKean, Martingale problem
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