The Bismut-Elworthy-Li formula for mean-field stochastic differential equations

DOI10.1214/16-AIHP801zbMath1396.60063arXiv1510.06961OpenAlexW2963506254MaRDI QIDQ1635968

David R. Baños

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.06961

zbMATH Keywords

Malliavin calculusstochastic differential equationsMonte Carlo methodsBismut-Elworthy-Li formulaintegration by parts formulas

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (13)

Regularity for distribution-dependent SDEs driven by jump processes ⋮ Smoothing properties of McKean-Vlasov SDEs ⋮ Distribution dependent SDEs driven by fractional Brownian motions ⋮ Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients ⋮ Bismut formula for Lions derivative of distribution-path dependent SDEs ⋮ Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space ⋮ Strong solutions of mean-field stochastic differential equations with irregular drift ⋮ Lagrangian Uncertainty Quantification and Information Inequalities for Stochastic Flows ⋮ Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift ⋮ Bismut formula for Lions derivative of distribution dependent SDEs and applications ⋮ A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle ⋮ Periodic solutions in distribution of mean-field stochastic differential equations ⋮ State-density flows of non-degenerate density-dependent mean field SDEs and associated PDEs

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