Nonlinear Fokker-Planck flows and McKean-Vlasov stochastic differential equations
Viorel Barbu
Octav Mayer Institute of Mathematics, Romanian Academy, Iaşi
Abstract:
This talk is concerned with the existence theory for the Fokker-Planck equations (NFPEs)
$$\small{
\begin{array}
\ u_t-\displaystyle\sum^d_{i,j=1}D^2_{ij}(a_{ij}(x,u)u)+{\rm div}(b(x,u)u)=0\mbox{ in }(0,\infty)\times\mathbb{R}^d\!, \\
u(0,x)=u_0(x),\ x\in\mathbb{R}^d.
\end{array}}$$
This equation is relevant in statistical mechanics, mean field theory and also in stochastic analysis.
In fact, a distributional solution $u$ of this equation describes the microscopic dynamics of the stochastic
differential differential equation (McKean-Vlasov SDE)
$$dX=b(x,u)dt+\sigma(x,u)dW.$$
The results are surveyed here were obtained in collaboration with Michael Röckner (Bielefeld University).