The random periodic solutions for McKean-Vlasov stochastic differential equations
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| Format: | Preprint |
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2024
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| _version_ | 1866913596257075200 |
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| author | Bao, Jianhai Reis, Goncalo Dos Wu, Yue |
| author_facet | Bao, Jianhai Reis, Goncalo Dos Wu, Yue |
| contents | In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where the random periodic behaviour is characterised by the equations' long-time behaviour. Given the well-known connection between McKean-Vlasov SDEs and interacting particle systems, we show propagation of chaos and that the key properties of the interacting particle systems recover those of the McKean-Vlasov SDEs in the particle limit. All results in the present work are shown under two settings: fully and partially dissipative case. Each setting has its challenges and limitations. For instance, weakening full dissipativity to partial dissipativity demands stronger structural assumptions on the equations' dynamics and yields random periodic behaviour in the weak sense instead of pathwise sense (as in the full dissipativity case). The proof mechanisms are close but fundamentally different. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2408_17242 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | The random periodic solutions for McKean-Vlasov stochastic differential equations Bao, Jianhai Reis, Goncalo Dos Wu, Yue Probability Dynamical Systems In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where the random periodic behaviour is characterised by the equations' long-time behaviour. Given the well-known connection between McKean-Vlasov SDEs and interacting particle systems, we show propagation of chaos and that the key properties of the interacting particle systems recover those of the McKean-Vlasov SDEs in the particle limit. All results in the present work are shown under two settings: fully and partially dissipative case. Each setting has its challenges and limitations. For instance, weakening full dissipativity to partial dissipativity demands stronger structural assumptions on the equations' dynamics and yields random periodic behaviour in the weak sense instead of pathwise sense (as in the full dissipativity case). The proof mechanisms are close but fundamentally different. |
| title | The random periodic solutions for McKean-Vlasov stochastic differential equations |
| topic | Probability Dynamical Systems |
| url | https://arxiv.org/abs/2408.17242 |