Solving mean field rough differential equations

TL;DR

This paper develops a comprehensive solution framework for mean field rough differential equations driven by random rough paths, incorporating a novel rough path-like setting and leveraging Lions' calculus on Wasserstein space.

Contribution

It introduces a new rough path-like framework and controlled path concept for mean field equations, extending rough differential equations to include mean field interactions.

Findings

Established a robust solution theory for mean field rough differential equations.

Introduced a new rough path-like setting and controlled path notion.

Utilized Lions' calculus on Wasserstein space in the analysis.

Abstract

We provide in this work a robust solution theory for random rough differential equations of mean field type $$ dX_t = V(X_t,\mathcal{L}(X_t))dt + F(X_t,\mathcal{L}(X_t))dW_t, $$ where $W$ is a random rough path and $\mathcal{L}(X_t)$ stands for the law of $X_t$, with mean field interaction in both the drift and diffusivity. The analysis requires the introduction of a new rough path-like setting and an associated notion of controlled path. We use crucially Lions' approach to differential calculus on Wasserstein space along the way.