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Long time behavior of one-dimensional McKean-Vlasov SDEs with common noise

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arxiv 2401.07665 v1 pith:FCJHYJ56 submitted 2024-01-15 math.PR

classification math.PR
keywords noisecommonmckean-vlasovsdesassociatedbehavioridiosyncraticlong
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In this paper, by introducing a new type asymptotic coupling by reflection, we explore the long time behavior of random probability measure flows associated with a large class of one-dimensional McKean-Vlasov SDEs with common noise. Concerning the McKean-Vlasov SDEs with common noise under consideration in the present work, in contrast to the existing literature, the drift terms are much more general rather than of the convolution form, and, in particular, can be of polynomial growth with respect to the spatial variables, and moreover idiosyncratic noises are allowed to be of multiplicative type. Most importantly, our main result indicates that both the common noise and the idiosyncratic noise facilitate the exponential contractivity of the associated measure-valued processes.

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