Nonlinear diffusions and stable-like processes with coefficients depending on the median or VaR

TL;DR

This paper establishes well-posedness for nonlinear McKean-Vlasov diffusions with coefficients depending on the median or VaR, providing a clear and straightforward proof of the theory of nonlinear Markov processes.

Contribution

It extends the theory of nonlinear Markov processes to include coefficients depending on median or VaR, answering a question posed at a conference.

Findings

Well-posedness results for median-dependent diffusions

Simplified and transparent proof methodology

Extension to VaR-dependent coefficients

Abstract

In June 2012 on a conference in Bielefeld, after the author made the presentation of his theory of nonlinear Markov processes, Tom Kurtz asked him whether his methods would allow to get well-posedness for nonlinear McKean-Vlasov type diffusions with coefficients depending on the distribution via the median. The present paper is the answer to this question. The aim here is not to find the weakest possible conditions for the affirmative answer, but a sensible general result with a quick and transparent proof.