McKean-Vlasov SDEs with Drifts Discontinuous under Wasserstein Distance

Abstract

Existence and uniqueness are proved for Mckean-Vlasov type distribution dependent SDEs with singular drifts satisfying an integrability condition in space variable and the Lipschitz condition in distribution variable with respect to $W_0$ or $W_0+W_\theta$ for some $\theta\ge 1$, where $W_0$ is the total variation distance and $W_\theta$ is the $L^\theta$-Wasserstein distance. This improves some existing results where the drift is either locally bounded in the space variable or continuous in the distribution variable with respect to the Wasserstein distance.