Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games

This work is devoted to the study of stochastic differential equations (SDEs) whose diffusion coefficient (s, X ₒ) is Lipschitz continuous with respect to the path of the solution process X, while its drift coefficient b (s, X ₒ, Qₗ䂺) is only measurable with respect to X and depends continuously (in the sense of the 1-Wasserstein metric) on the law of the solution process. Embedded in a mean-field game, the weak existence for such SDEs with mean-field term was recently studied by Lacker Stochastic Process. Appl. , 125 (2015), pp. 2856--2894 and Carmona and Lacker Ann. Appl. Probab. , 25 (2015), pp. 1189--1231 under only sequential continuity of b (s, X ₒ, Qₗ䂺) in Qₗ with respect to a weak topology, but for uniqueness, Carmona and Lacker supposed that b is independent of the mean-field term. We prove the uniqueness in law for b depending on the mean-field, and the proof of the existence of a weak solution, relatively short in comparison with Carmona and Lacker's work, is extended in section 5 of this paper to the study of 2-person zero-sum stochastic differential games described by doubly controlled coupled mean-field forward-backward SDEs with dynamics whose drift coefficient is only measurable with respect to the state process.