Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games

Abstract

This work is devoted to the study of stochastic differential equations (SDEs) whose diffusion coefficient $\sigma(s,X_{\cdot\wedge s})$ is Lipschitz continuous with respect to the path of the solution process $X$, while its drift coefficient $b(s,X_{\cdot\wedge s},Q_{X_s})$ is only measurable with respect to $X$ and depends continuously (in the sense of the 1-Wasserstein metric) on the law of the solution process. Embedded in a mean-field game, the weak existence for such SDEs with mean-field term was recently studied by Lacker [Stochastic Process. Appl., 125 (2015), pp. 2856--2894] and Carmona and Lacker [Ann. Appl. Probab., 25 (2015), pp. 1189--1231] under only sequential continuity of $b(s,X_{\cdot\wedge s},Q_{X_s})$ in $Q_{X}$ with respect to a weak topology, but for uniqueness, Carmona and Lacker supposed that $b$ is independent of the mean-field term. We prove the uniqueness in law for $b$ depending on the mean-field, and the proof of the existence of a weak solution, relatively short in comparison ...