Well-posedness and propagation of chaos for McKean-Vlasov stochastic variational inequalities

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In this paper, we study a broad class of McKean-Vlasov stochastic variational inequalities (MVSVIs), where both the drift coefficient b and the diffusion coefficient σ depend on time t, the state Xₜ and its distribution μₜ. We establish the strong well-posedness, when b is superlinear growth and locally Lipschitz continuous, and σ is locally H\"older continuous, both with respect to Xₜ and μₜ. Additionally, we present the first propagation of chaos result for MVSVIs.