McKean-Vlasov SDEs are SDEs where the coefficients depend on the law of the solution to the SDE. Their interest is in the links with nonlinear PDEs on one side (the SDE-related Fokker-Planck equation is nonlinear) and with interacting particles on the other side: the McKean-Vlasov SDE be approximated by a system of weakly coupled SDEs. In this talk we consider McKean-Vlasov SDEs with irregular drift: though well-posedness for this SDE is not known, we show a large deviation principle for the corresponding interacting particle system. This implies, in particular, that any limit point of the particle system solves the McKean-Vlasov SDE. The proof combines rough paths techniques and an extended Vanrdhan lemma.
This is a joint work with Thomas Holding.
- Stochastic Analysis Seminar