Weak Existence and Uniqueness for McKean-Vlasov SDEs with Common Noise

William R. P. Hammersley, David Šiška, Łukasz Szpruch

Research output: Contribution to journalArticlepeer-review

Abstract

This paper concerns the McKean-Vlasov stochastic differential equation (SDE) with common noise. An appropriate definition of a weak solution to such an equation is developed. The importance of the notion of compatibility in this definition is highlighted by a demonstration of its r\^ole in connecting weak solutions to McKean-Vlasov SDEs with common noise and solutions to corresponding stochastic partial differential equations (SPDEs). By keeping track of the dependence structure between all components in a sequence of approximating processes, a compactness argument is employed to prove the existence of a weak solution assuming boundedness and joint continuity of the coefficients (allowing for degenerate diffusions). Weak uniqueness is established when the private (idiosyncratic) noise's diffusion coefficient is non-degenerate and the drift is regular in the total variation distance. This seems sharp when one considers using finite-dimensional noise to regularise an infinite dimensional problem. The proof relies on a suitably tailored cost function in the Monge-Kantorovich problem and representation of weak solutions via Girsanov transformations.
Original languageEnglish
JournalAnnals of Probability
Publication statusAccepted/In press - 21 Jun 2020

Keywords

  • math.PR

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