Path Dependent McKean-Vlasov SDEs with Hölder Continuous Diffusion

Abstract

In this paper, the well-posedness for one-dimensional path dependent McKean-Vlasov SDEs with $\alpha$($\alpha \ge \frac{1}{2}$)-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.

arXiv comment18 pages