Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations

Abstract

New weak and strong existence and weak and strong uniqueness results for the solutions of multi-dimensional stochastic McKean–Vlasov equation are established under relaxed regularity conditions. Weak existence requires a non-degeneracy of diffusion and no more than a linear growth of both coefficients in the state variable. Weak and strong uniqueness are established under the restricted assumption of diffusion, yet without any regularity of the drift; this part is based on the analysis of the total variation metric.