Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs (Q2051411)
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English | Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs |
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Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs (English)
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24 November 2021
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The authors investigate the central limit theorem and the moderate deviation principle for solutions of McKean-Vlasov SDEs using the weak convergence approach. More precisely, the authors first show that the law of the solution to a good approximation SDE of the underlying McKean-Vlasov SDEs satisfies an large deviation principle via weak convergence method. It is worth noting that the weak convergence approach results in a convenient representation formula for the rate function. Secondly, the authors show that the solution to an approximation SDE and the solution to the McKean-Vlasov SDEs are exponentially equivalent as the deviation scale tends to zero.
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McKean-Vlasov SDEs
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central limit theorem
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moderate deviation principle
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weak convergence method
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exponential approximation
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