This work concerns a type of coupled McKean-Vlasov stochastic differential equations (MVSDEs in short) with jumps. First, we prove superposition principles for these coupled MVSDEs with jumps and non-local space-distribution dependent Fokker-Planck equations. Since superposition principles are related to the well-posedness of weak solutions for coupled MVSDEs with jumps, then we give some conditions to assure it. After this, we construct space-distribution valued Markov processes associated with these coupled MVSDEs with jumps. Finally, the ergodicity of these coupled MVSDEs with jumps are investigated. As a by-product, we show the exponential ergodicity for a type of MVSDEs with jumps.
In this paper, we show the strong well-posedness of Mckean-Vlasov SDEs with non-Lipschitz coefficients. Moreover, propagation of chaos and the convergence rate for Euler's scheme of Mckean-Vlasov SDEs are also obtained.
The existence and uniqueness are established for McKean-Vlasov SDEs driven by Lévy processes. By using an approximation technique and coupling by change of measures, Harnack inequalities are investigated for McKean-Vlasov SDEs driven by subordinate Brownian motions.
In this paper, we present sufficient conditions and criteria to establish the large and moderate deviation principle of multivalued McKean-Vlasov stochastic differential equation by means of the weak convergence method.
The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it is presented that their solutions depend continuously on the terminal values. Finally, we give a probabilistic interpretation for viscosity solutions of nonlocal quasi-linear parabolic variational inequalities.
One proves the uniqueness of distributional solutions to nonlinear Fokker--Planck equations with monotone diffusion term and derive as a consequence (restricted) uniqueness in law for the corresponding McKean--Vlasov stochastic differential equation (SDE).
We prove existence and uniqueness of physical and minimal solutions to McKean-Vlasov equations with positive feedback through elastic stopping times. We do this by establishing a relationship between this problem and a problem with absorbing stopping times. We show convergence of a particle system to the McKean-Vlasov equation. Moreover, we establish convergence of the elastic McKean-Vlasov problem to the problem with absorbing stopping times and to a reflecting Brownian motion as the elastic parameter goes to infinity or zero respectively.
We study ergodic properties of nonlinear Markov chains and stochastic McKean-Vlasov equations. For nonlinear Markov chains we obtain sufficient conditions for existence and uniqueness of an invariant measure and uniform ergodicity. We also prove optimality of these conditions. For stochastic McKean-Vlasov equations we establish exponential convergence of their solutions to stationarity in the total variation metric under Veretennikov-Khasminskii-type conditions.
Under a Lipschitz condition on distribution dependent coefficients, the central limit theorem and the moderate deviation principle are obtained for solutions of McKean-Vlasov type stochastic differential equations, which extend from the corresponding results for classical stochastic differential equations to the distribution dependent setting.
In this article, the path independent property of additive functionals of McKean-Vlasov stochastic differential equations with jumps is characterised by nonlinear partial integro-differential equations involving $L$-derivatives with respect to probability measures introduced by P.-L. Lions. Our result extends the recent work [16] by Ren and Wang where their concerned McKean-Vlasov stochastic differential equations are driven by Brownian motions.
In this paper, the well-posedness for one-dimensional path dependent McKean-Vlasov SDEs with $α$($α\geq \frac{1}{2}$)-Hölder continuous diffusion is investigated. Moreover, the associated quantitative propagation of chaos in the sense of Wasserstein distance, total variation distance as well as relative entropy is studied.
In this paper, we aim to study the asymptotic behaviour for a class of McKean-Vlasov stochastic partial differential equations with slow and fast time-scales. Using the variational approach and classical Khasminskii time discretization, we show that the slow component strongly converges to the solution of the associated averaged equation. In particular, the corresponding convergence rates are also obtained. The main results can be applied to demonstrate the averaging principle for various McKean-Vlasov nonlinear SPDEs such as stochastic porous media type equation, stochastic $p$-Laplace type e…
In this paper, we first study the well-posedness of a class of McKean-Vlasov stochastic partial differential equations driven by cylindrical $α$-stable process, where $α\in(1,2)$. Then by the method of the Khasminskii's time discretization, we prove the averaging principle of a class of multiscale McKean-Vlasov stochastic partial differential equations driven by cylindrical $α$-stable processes. Meanwhile, we obtain a specific strong convergence rate.
We study a large class of McKean-Vlasov SDEs with drift and diffusion coefficient depending on the density of the solution's time marginal laws in a Nemytskii-type of way. A McKean-Vlasov SDE of this kind arises from the study of the associated nonlinear FPKE, for which is known that there exists a bounded Sobolev-regular Schwartz-distributional solution u. Via the superposition principle, it is already known that there exists a weak solution to the McKean-Vlasov SDE with time marginal densities u. We show that there exists a strong solution the McKean-Vlasov SDE, which is unique among weak so…
Pathwise uniqueness for multi-dimensional stochastic McKean--Vlasov equation is established under moderate regularity conditions on the drift and diffusion coefficients. Both drift and diffusion depend on the marginal measure of the solution. For pathwise uniqueness, the drift is assumed to be Dini-continuous in the state variable, while the diffusion must be Lipschitz, continuous in time and uniformly nondegenerate. The setting is classical McKean--Vlasov, that is, coefficients of the equation are represented as integrals over the marginal distributions of the process.
The Bismut formula is established for the intrinsic derivative of singular McKean-Vlasov SDEs, where the noise coefficient belongs to a local Sobolev space, and the drift contains a locally integrable time-space term as well as a time-space-distribution term Lipschitz continuous in the space and distribution variables. The results are new also for classical SDEs.
The work concerns deviation estimates for multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the large deviation principle for them by the weak convergence approach. Then the central limit theorem for them is shown with the help of a formula for $L$-derivatives. Finally, we establish the moderate deviation principle for them.
The goal of this paper is to approximate several kinds of {\it Mckean-Vlasov SDEs} with {\it irregular coefficients} via weakly interacting particle systems. More precisely, propagation of chaos and convergence rate of Euler-Maruyama scheme associated with the consequent weakly interacting particle systems are investigated for Mckean-Vlasov SDEs, where (i) the diffusion terms are Hölder continuous by taking advantage of Yamada-Watanabe's approximation approach and (ii) the drifts are Hölder continuous by freezing distributions followed by invoking Zvonkin's transformation trick.
This paper is devoted to investigating the Freidlin-Wentzell's large deviation principle for a class of McKean-Vlasov quasilinear SPDEs perturbed by small multiplicative noise. We adopt the variational framework and the modified weak convergence criteria to prove the Laplace principle for McKean-Vlasov type SPDEs, which is equivalent to the large deviation principle. Moreover, we do not assume any compactness condition of embedding in the Gelfand triple to handle both the cases of bounded and unbounded domains in applications. The main results can be applied to various McKean-Vlasov type SPDEs…
We present two cubature on Wiener space algorithms for the numerical solution of McKean-Vlasov SDEs with smooth scalar interaction. The analysis hinges on sharp gradient to time-inhomogeneous parabolic PDEs bounds. These bounds may be of independent interest. They extend the classical results of Kusuoka \& Stroock. Both algorithms are tested through two numerical examples.
In this paper we study a type of stochastic McKean-Vlasov equations with non-Lipschitz coefficients. Firstly, by an Euler-Maruyama approximation existence of its weak solutions is proved. And then we observe pathwise uniqueness of its weak solutions. Finally, it is shown that the Euler-Maruyama approximation has an optimal strong convergence rate.
In this article, we develop integration by parts formulae on Wiener space for solutions of SDEs with general McKean-Vlasov interaction and uniformly elliptic coefficients. These integration by parts formulae hold both for derivatives with respect to a real variable and derivatives with respect to a measure understood in the sense of Lions. They allows us to prove the existence of a classical solution to a related PDE with irregular terminal condition. We also develop bounds for the derivatives of the density of the solutions of McKean-Vlasov SDEs.
In this paper, by utilizing Wang's Harnack inequality with power and the Banach fixed point theorem, the weak well-posedness for McKean-Vlasov SDEs with integrable drift is investigated. In addition, using the decoupled method, some regularity such as relative entropy and Sobolev's estimate of invariant probability measure are proved. Finally, by Banach's fixed theorem, the existence and uniqueness of invariant probability measure for symmetric McKean-Vlasov SDEs and stochastic Hamiltonian system with integrable drifts are obtained.
The work concerns a class of path-dependent McKean-Vlasov stochastic differential equations with unknown parameters. First, we prove the existence and uniqueness of these equations under non-Lipschitz conditions. Second, we construct maximum likelihood estimators of these parameters and then discuss their strong consistency. Third, a numerical simulation method for the class of path-dependent McKean-Vlasov stochastic differential equations is offered. Moreover, we estimate the errors between solutions of these equations and that of their numerical equations. Finally, we give an example to expl…
The work concerns invariant measures for multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the exponential ergodicity of these equations. Then for a sequence of these equations, when their coefficients converge in the suitable sense, the convergence of corresponding strong solutions are presented. Finally, based on the convergence of these solutions, we establish the convergence of corresponding invariant measures.
In this paper, we consider a class of Mckean-Vlasov stochastic differential equation with oblique reflection over an non-smooth time dependent domain. We establish the existence and uniqueness results of this class, address the propagation of chaos and prove a Fredlin-Wentzell type large deviations principle (LDP). One of the main difficulties is raised by the setting of non-smooth time dependent domain. To prove the LDP, a sufficient condition for the weak convergence method, which is suitable for Mckean-Vlasov stochastic differential equation, plays an important role.
In this paper we analyze a stochastic interpretation of the one-dimensional parabolic-parabolic Keller-Segel system without cut-off. It involves an original type of McKean-Vlasov interaction kernel. At the particle level, each particle interacts with all the past of each other particle by means of a time integrated functional involving a singular kernel. At the mean-field level studied here, the McKean-Vlasov limit process interacts with all the past time marginals of its probability distribution in a similarly singular way. We prove that the parabolic-parabolic Keller-Segel system in the whol…
Under Lyapunov and monotone conditions, the exponential ergodicity in the induced Wasserstein quasi-distance is proved for a class of fully non-dissipative McKean-Vlasov SDEs, which strengthen some recent results established under dissipative conditions in long distance. Moreover, when the SDE is order-preserving, the exponential ergodicity is derived in the Wasserstein distance induced by one-dimensional increasing functions chosen according to the coefficients of the equation.
In this paper, the strong existence and uniqueness for a degenerate finite system of quantile-dependent McKean-Vlasov stochastic differential equations are obtained under a weak Hörmander condition. The approach relies on the apriori bounds for the density of the solution to time inhomogeneous diffusions. The time inhomogeneous Feynman-Fac formula is used to construct a contraction map for this degenerate system.
By refining a recent result of Xie and Zhang, we prove the exponential ergodicity under a weighted variation norm for singular SDEs with drift containing a local integrable term and a coercive term. This result is then extended to singular reflecting SDEs as well as singular McKean-Vlasov SDEs with or without reflection. We also present the exponential ergodicity in the relative entropy and (weighted) Wasserstein distances for reflecting McKean-Vlasov SDEs under the dissipative and partially dissipative conditions respectively. The main results are illustrated by non-symmetric singular granula…
By using the heat kernel parameter expansion with respect to the frozen SDEs, the intrinsic derivative is estimated for the law of Mckean-Vlasov SDEs with respect to the initial distribution. As an application, the total variation distance between the laws of two solutions is bounded by the Wasserstein distance for initial distributions. These extend some recent results proved for distribution-free noise by using the coupling method and Malliavin calculus.
Motivated by several applications, including neuronal models, we consider the McKean-Vlasov limit for mean-field systems of interacting diffusions with simultaneous jumps. We prove propagation of chaos via a coupling technique that involves an intermediate process and that gives a rate of convergence for the $W_1$ Wasserstein distance between the empirical measures of the two systems on the space of trajectories $\mathbf{D}([0,T],\mathbb{R}^d)$.
We study stochastic differential equations (SDEs) of McKean-Vlasov type with distribution dependent drifts and driven by pure jump Lévy processes. We prove a uniform in time propagation of chaos result, providing quantitative bounds on convergence rate of interacting particle systems with Lévy noise to the corresponding McKean-Vlasov SDE. By applying techniques that combine couplings, appropriately constructed $L^1$-Wasserstein distances and Lyapunov functions, we show exponential convergence of solutions of such SDEs to their stationary distributions. Our methods allow us to obtain results th…
In the first part of the paper we develop the sensitivity analysis for the nonlinear McKean-Vlasov diffusions stressing precise estimates of growth of solutions and their derivatives with respect to the initial data, under rather general assumptions on the coefficients. The exact estimates become particularly important when treating the extension of these equations having random coefficient, since the noise is usually assumed to be unbounded. The second part contains our main results dealing with the sensitivity of stochastic McKean-Vlasov diffusions. By using the method of stochastic characte…
This paper establishes results on the existence and uniqueness of solutions to McKean-Vlasov equations, also called mean-field stochastic differential equations, in an infinite-dimensional Hilbert space setting with irregular drift. Here, McKean-Vlasov equations with additive noise are considered where the driving noise is cylindrical (fractional) Brownian motion. The existence and uniqueness of weak solutions are established for drift coefficients that are merely measurable, bounded, and continuous in the law variable. In particular, the drift coefficient is allowed to be singular in the spat…
The well-posedness and regularity estimates in initial distributions are derived for singular McKean-Vlasov SDEs, where the drift contains a locally standard integrable term and a superlinear term in the spatial variable, and is Lipchitz continuous in the distribution variable with respect to a weighted variation distance. When the superlinear term is strengthened to be Lipschitz continuous, Wangs Harnack inequality is established. These results are new also for the classical Ito SDEs where the coefficients are distribution independent.
