The invariant measure of nonlinear McKean-Vlasov stochastic differential equations with common noise

Abstract: This paper focuses on the invariant measure of McKean-Vlasov (MV) stochastic differential equations (SDEs) with common noise (wCN) whose coefficients depend on both the state and the measure. Using the existence of the unique solution of the corresponding stochastic partial differential equation (SPDE), we give the strong/weak existence and uniqueness of the couple of the solution and its conditional distribution of the MV-SDEwCN. Then we construct a complete product measure space under given distance and an operator acting on the measure couple of the solution. By the help of the semigroup property of the operators, we establish the existence of the unique invariant measure for the solution couple of the MV-SDEwCN, whose coefficients grow polynomially. Then we establish the uniform-in-time propagation of chaos and give the convergence rate of the measure couple of one single particle and the empirical measure of the interacting particle system to the underlying invariant measure. Finally, two examples are given to illustrate our main results.