Signature McKean-Vlasov stochastic differential equations

Abstract

McKean-Vlasov-type stochastic differential equations (SDEs) are characterized by coefficients depending on both the state and the law of the solution. In this work, we focus on a class of such equations where the coefficients depend on a linear combination of the expected signature of the geometric $p$-rough path lift of its solution, with $p\in(2,3)$. After establishing the strong existence and uniqueness of a solution, we prove how such an equation can approximate a general class of path-dependent McKean-Vlasov SDEs. Finally, we consider the associated particle system and propagation of chaos is established.