Onsager--Machlup functionals for McKean--Vlasov SDEs via Euler-type approximation

The Onsager--Machlup action functional provides a variational framework for characterizing the most probable transition paths of stochastic systems and plays an important role in the study of nonequilibrium fluctuations.

Its extension to McKean--Vlasov stochastic differential equations is complicated by the intrinsic distribution dependence of the coefficients.

In this paper, we address this difficulty by introducing an Euler-type approximation scheme based on classical, distribution-free stochastic differential equations.

Combining the classical Onsager--Machlup theory with a convergence argument for the approximation sequence, we derive an explicit expression for the Onsager--Machlup functional associated with the McKean--Vlasov SDE.

The proposed approach is constructive and extends to a broad class of distribution-dependent stochastic systems.