Path-Distribution Dependent SDEs with Singular Coefficients

Abstract

In this paper, existence and uniqueness are proved for path-dependent McKean-Vlasov type SDEs with integrability conditions. Gradient estimates and Harnack type inequalities are derived in the case that the coefficients are Dini continuous in the space variable. These generalize the corresponding results derived for classical functional SDEs with singular coefficients.

arXiv comment21pages. arXiv admin note: text overlap with arXiv:1805.01682

Cited by in corpus (1)

• Large deviations for interacting diffusions with path-dependent McKean-Vlasov limit