Weak Solution and Invariant Probability Measure for McKean-Vlasov SDEs with Integrable Drifts
| Autor: | Huang, Xing, Wang, Shen, Yang, Fen-Fen |
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| Rok vydání: | 2021 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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. Comment: 15 pages |
| Databáze: | arXiv |
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