Well-posedness of McKean-Vlasov SDEs with density-dependent drift

Abstract: In this paper, we study the well-posedness of McKean-Vlasov stochastic differential equations (SDE) whose drift depends pointwisely on marginal density and satisfies a condition about local integrability in time-space variables. The drift is assumed to be Lipschitz continuous in distribution variable with respect to Wasserstein metric $W_p$. Our approach is by approximation with mollified SDEs. We establish a new estimate about H{\"o}lder continuity in time of marginal density. Then we deduce that the marginal distributions (resp. marginal densities) of the mollified SDEs converge in $W_p$ (resp. topology of compact convergence) to the solution of the Fokker-Planck equation associated with the density-dependent SDE. We prove strong existence of a solution. Weak and strong uniqueness are obtained when $p=1$, the drift coefficient is bounded, and the diffusion coefficient is distribution free.