McKean–Vlasov stochastic equations with Hölder coefficients

This work revisits the well-posedness of non-degenerate McKean-Vlasov stochastic differential equations with Hölder continuous coefficients, recently established by Chaudru de Raynal. We provide a streamlined and direct proof that leverages standard Gaussian estimates for uniformly parabolic PDEs, bypassing the need for derivatives with respect to the measure argument and extending applicability to hypoelliptic PDEs under weaker assumptions.

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Publication Details

Journal
Stochastic Processes and their Applications
Published
2025-01-09
DOI
https://doi.org/10.1016/j.spa.2025.104564
Primary Topic
Stochastic processes and financial applications
Type
article
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McKean–Vlasov stochastic equations with Hölder coefficients

Andrea Pascucci, Alessio Rondelli
Stochastic Processes and their Applications
Stochastic processes and financial applications
article

McKean–Vlasov stochastic equations with Hölder coefficients

Andrea Pascucci, Alessio Rondelli
article en

Abstract

This work revisits the well-posedness of non-degenerate McKean-Vlasov stochastic differential equations with Hölder continuous coefficients, recently established by Chaudru de Raynal. We provide a streamlined and direct proof that leverages standard Gaussian estimates for uniformly parabolic PDEs, bypassing the need for derivatives with respect to the measure argument and extending applicability to hypoelliptic PDEs under weaker assumptions.

Stochastic Processes and their ApplicationsVol. 182
University of Bologna (IT)
Openalex Percentile: Top 99%
Stochastic processes and financial applications
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