Work

McKean–Vlasov stochastic equations with Hölder coefficients

Year: 2025

Type: article

Abstract: This work revisits the well-posedness of non-degenerate McKean–Vlasov stochastic differential equations with Hölder continuous coefficients, recently established by Chaudru de Raynal. We provide a streamlined and direct proof that leverages standard Gaussian estimates for uniformly parabolic PDEs, bypassing the need for derivatives with respect to the measure argument and extending applicability to hypoelliptic PDEs under weaker assumptions.

Source: Stochastic Processes and their Applications

Authors: Andrea Pascucci, Alessio Rondelli

Institution: University of Bologna

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,520

OpenAlex ID: W4406213729

FWCI: 1.896

Cites: 7

Cited by: 2

Related to: 10