The paper investigates existence and uniqueness for a stochastic differential equation (SDE) depending on the law density of the solution, involving a Schwartz distribution. Those equations, known as McKean SDEs, are interpreted in the sense of a suitable singular martingale problem. A key tool used in the analysis is the corresponding Fokker-Planck equation.
McKean SDEs with singular coefficients
Issoglio E.
First
;
2023-01-01
Abstract
The paper investigates existence and uniqueness for a stochastic differential equation (SDE) depending on the law density of the solution, involving a Schwartz distribution. Those equations, known as McKean SDEs, are interpreted in the sense of a suitable singular martingale problem. A key tool used in the analysis is the corresponding Fokker-Planck equation.
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