Nonlinear McKean-Vlasov diffusions under the weak Hormander condition with quantile-dependent coefficients

11 Jan 2021  ·  Yaozhong Hu, Michael A. Kouritzin, Jiayu Zheng ·

In this paper, the strong existence and uniqueness for a degenerate finite system of quantile-dependent McKean-Vlasov stochastic differential equations are obtained under a weak H\"{o}rmander condition. The approach relies on the apriori bounds for the density of the solution to time inhomogeneous diffusions... The time inhomogeneous Feynman-Fac formula is used to construct a contraction map for this degenerate system. read more

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Probability