Weak solutions to Vlasov–McKean equations under Lyapunov-type conditions

Abstract

We present a Lyapunov-type approach to the problem of existence and uniqueness of general law-dependent stochastic differential equations. In the existing literature, most results concerning existence and uniqueness are obtained under regularity assumptions of the coefficients with respect to the Wasserstein distance. Some existence and uniqueness results for irregular coefficients have been obtained by considering the total variation distance. Here, we extend this approach to the control of the solution in some weighted total variation distance, that allows us now to derive a rather general weak uniqueness result, merely assuming measurability and certain integrability on the drift coefficient and some non-degeneracy on the dispersion coefficient. We also present an abstract weak existence result for the solution of law-dependent stochastic differential equations with merely measurable coefficients, based on an approximation with law-dependent stochastic differential equations with regular coefficients under Lyapunov-type assumptions.