Supercritical McKean-Vlasov SDE driven by cylindrical $\alpha$-stable process

Abstract

In this paper, we study the following supercritical McKean-Vlasov SDE, driven by a symmetric non-degenerate cylindrical $\alpha$-stable process in $\mathbb{R}^d$ with $\alpha \in (0,1)$: $$ \mathord{{\rm d}} X_t = (K * \mu_{t})(X_t)\mathord{{\rm d}}t + \mathord{{\rm d}} L_t^{(\alpha)}, \quad X_0 = x \in \mathbb{R}^d, $$ where $K: \mathbb{R}^d \to \mathbb{R}^d$ is a $\beta$-order H\"older continuous function, and $\mu_t$ represents the time marginal distribution of the solution $X$. We establish both strong and weak well-posedness under the conditions $\beta \in (1 - \alpha/2, 1)$ and $\beta \in (1 - \alpha, 1)$, respectively. Additionally, we demonstrate strong propagation of chaos for the associated interacting particle system, as well as the convergence of the corresponding Euler approximations. In particular, we prove a commutation property between the particle approximation and the Euler approximation.