Smoothing properties of McKean-Vlasov SDEs
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Publication:1647925
DOI10.1007/S00440-017-0774-0zbMATH Open1393.60074arXiv1702.01397OpenAlexW2586952071WikidataQ59614723 ScholiaQ59614723MaRDI QIDQ1647925FDOQ1647925
Publication date: 27 June 2018
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: In this article, we develop integration by parts formulae on Wiener space for solutions of SDEs with general McKean-Vlasov interaction and uniformly elliptic coefficients. These integration by parts formulae hold both for derivatives with respect to a real variable and derivatives with respect to a measure understood in the sense of Lions. They allows us to prove the existence of a classical solution to a related PDE with irregular terminal condition. We also develop bounds for the derivatives of the density of the solutions of McKean-Vlasov SDEs.
Full work available at URL: https://arxiv.org/abs/1702.01397
Recommendations
Malliavin calculusWiener spaceKusuoka-Stroock functionsMcKean-Vlasov stochastic differential equationderivative with respect to measureuniformly elliptic coefficients
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Nonlinear parabolic equations (35K55) Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (47)
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