Smoothing properties of McKean-Vlasov SDEs (Q1647925): Difference between revisions
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English | Smoothing properties of McKean-Vlasov SDEs |
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Smoothing properties of McKean-Vlasov SDEs (English)
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27 June 2018
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This paper deals with the McKean-Vlasov stochastic differential equation \[ X_{t}^{x,[\theta]}=x+\int_0^ t V_0(X_{s}^{x,[\theta]},[X_{s}^{\theta}])\,ds+\sum_{i=1}^{d}\int_0^ t V_{i}(X_{s}^{x,[\theta]},[X_{s}^{\theta}])\,dB_{i}(s), \] where \(B_{i}(t), i=\overline{1,d}\) are the Brownian motions, the coefficients \(V_{i}: \mathbb{R}^{N}\times P_2(\mathbb{R}^{N})\to \mathbb{R}^{N}\), \(i=\overline{0,N}\). Here, \([\xi]\) is the law of the random variable \(\xi\) and \(P_2(\mathbb{R}^{N})\) is the set of probability measures on \(\mathbb{R}^{N}\) with finite second moment. Some results on differentiability of \(X_{t}^{x,[\theta]}\) and the solution of the considered equation with respect to the parameters \((x,[\theta])\) are proved. It is proved that if \(V_0,\ldots,V_{d}\in C^{k,k}_{b,\mathrm{Lip}}(\mathbb{R}^{N}\times P_2(\mathbb{R}^{N});\mathbb{R}^{N})\), then \((t,x,[\theta])\to X_{t}^{x,[\theta]}\in {\mathbf K}^1_0(\mathbb{R}^{N},k)\), where \(C^{k,k}_{b,\mathrm{Lip}}(\mathbb{R}^{N}\times P_2(\mathbb{R}^{N});\mathbb{R}^{N})\) is the class of functions \(k\)-times differentiable with bounded Lipschitz derivatives, \({\mathbf K}^1_0(\mathbb{R}^{N},k)\) is the class of Kusuoka-Stroock processes. Then, the authors develop an integration by parts formulae for derivatives of \((x,[\theta])\to {\mathbf E}[f(X_{t}^{x,[\theta]})]\) under the uniform ellipticity assumption and the assumption that \(V_0,\ldots,V_{d}\in C^{k,k}_{b,\mathrm{Lip}}(\mathbb{R}^{N}\times P_2(\mathbb{R}^{N});\mathbb{R}^{N})\). The existence of a classical solution to a related partial differential equation with an irregular terminal condition is proved, and bounds for the derivatives of the density of the solutions to the McKean-Vlasov stochastic differential equation are obtained.
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McKean-Vlasov stochastic differential equation
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Wiener space
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Malliavin calculus
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uniformly elliptic coefficients
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derivative with respect to measure
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Kusuoka-Stroock functions
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