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

TL;DR

This paper establishes the existence and uniqueness of strong solutions for a class of McKean-Vlasov SDEs with Nemytskii-type coefficients, linking solutions to nonlinear Fokker-Planck equations and extending classical results.

Contribution

It introduces a restricted Yamada-Watanabe theorem to prove strong solution existence and uniqueness for McKean-Vlasov SDEs with density-dependent coefficients of Nemytskii-type.

Findings

Existence of strong solutions for the considered McKean-Vlasov SDEs.

Uniqueness of strong solutions among weak solutions with the same marginal densities.

Extension of classical Yamada-Watanabe theorem to a restricted setting.

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 classic Yamada-Watanabe theorem.