Well-posedness and propagation of chaos for L{\'e}vy-driven McKean-Vlasov SDEs under Lipschitz assumptions
The first goal of this note is to prove the strong well-posedness of McKean-Vlasov SDEs driven by L{\'e}vy processes on $\mathbb{R}^d$ having a finite moment of order $\beta \in [1,2]$ and under standard Lipschitz assumptions on the coefficients. Then, we prove a quantitative propagation of cha...
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Zusammenfassung: | The first goal of this note is to prove the strong well-posedness of
McKean-Vlasov SDEs driven by L{\'e}vy processes on $\mathbb{R}^d$ having a
finite moment of order $\beta \in [1,2]$ and under standard Lipschitz
assumptions on the coefficients. Then, we prove a quantitative propagation of
chaos result at the level of paths for the associated interacting particle
system, with constant diffusion coefficient. Finally, we improve the rates of
convergence obtained for a particular mean-field system of interacting
stable-driven Ornstein-Uhlenbeck processes. |
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DOI: | 10.48550/arxiv.2301.08594 |