Distribution dependent SDEs with multiplicative fractional noise
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866912115465388032 |
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| author | Fan, Xiliang Zhang, Shao-Qin |
| author_facet | Fan, Xiliang Zhang, Shao-Qin |
| contents | The well-posedness is investigated for distribution dependent stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\in (\ff {\sq 5-1} 2,1)$ and distribution dependent multiplicative noise. To this aim, we introduce a Hölder space of probability measure paths which is a complete metric space under a new metric. Our arguments rely on a mix of contraction mapping principle on the Hölder space and fractional calculus tools. We also establish the large and moderate deviation principles for this type of equations via the weak convergence criteria in the factional Brownian motion setting, which extend previously known results in the additive setting. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_06974 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Distribution dependent SDEs with multiplicative fractional noise Fan, Xiliang Zhang, Shao-Qin Probability 60H10, 60G22 The well-posedness is investigated for distribution dependent stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\in (\ff {\sq 5-1} 2,1)$ and distribution dependent multiplicative noise. To this aim, we introduce a Hölder space of probability measure paths which is a complete metric space under a new metric. Our arguments rely on a mix of contraction mapping principle on the Hölder space and fractional calculus tools. We also establish the large and moderate deviation principles for this type of equations via the weak convergence criteria in the factional Brownian motion setting, which extend previously known results in the additive setting. |
| title | Distribution dependent SDEs with multiplicative fractional noise |
| topic | Probability 60H10, 60G22 |
| url | https://arxiv.org/abs/2411.06974 |