McKean-Vlasov SDEs with Local Distributional Interactions: Well-Posedness and Entropy-Cost Estimates

Abstract

We study McKean-Vlasov SDEs with interaction kernels in $\tt W^{-\dd,k},$ the local negative Sobolev space on $\R^d$ with indexes $\dd \in [0,\infty)$ and $k\in [1,\infty].$ We derive the local well-posedness for any singular indexes $(\dd,k)\in [0,\infty)\times [1,\infty],$ and prove the global well-posedness for any initial distributions provided $\dd+\ff d k<1$. Moreover, the relative entropy and the $\|\cdot\|_{\dd,k*}$-distance induced by $ \tt W^{-\dd,k}$ are estimated for the time-marginal distributions of solutions by using the Wasserstein distance of initial distributions, which describe the regularity of the solution in initial distribution. In particular, the main results apply to Nemytskii-type SDEs which depend on higher order derivatives of the density functions, as well as McKean-Vlasov SDEs with interactions more singular than Riesz kernels.