Strong solutions to McKean–Vlasov SDEs with coefficients of Nemytskii-type

Abstract

We study a large class of McKean–Vlasov SDEs with drift and diffusion coefficient depending on the density of the solution’s time marginal laws in a Nemytskii-type of way. A McKean–Vlasov SDE of this kind arises from the study of the associated nonlinear FPKE, for which is known that there exists a bounded Sobolev-regular Schwartz-distributional solution u. Via the superposition principle, it is already known that there exists a weak solution to the McKean–Vlasov SDE with time marginal densities u. We show that there exists a strong solution the McKean–Vlasov SDE, which is unique among weak solutions with time marginal densities u. The main tool is a restricted Yamada–Watanabe theorem for SDEs, which is obtained by an observation in the proof of the classical Yamada–Watanabe theorem.