Density Dependent Singular Stochastic Differential Equations

Published 24 Dec 2021 in math.PR | (2112.13026v5)

Abstract: The (strong and weak) well-posedness is proved for singular SDEs depending on the distribution density point-wisely and globally, where the drift satisfies a local integrability condition in time-spatial variables, and is Lipschitz continuous in the distribution density with respect to a local $L^k$-norm. Density dependent reflecting SDEs are also studied.

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Feng-Yu Wang

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