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)
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.
Recommendations
Cites work
- scientific article; zbMATH DE number 3883346 (Why is no real title available?)
- scientific article; zbMATH DE number 4030651 (Why is no real title available?)
- scientific article; zbMATH DE number 1998237 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
- Applications of Malliavin's calculus to time-dependent systems of heat equations
- Cubature methods and applications
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Hypoelliptic second order differential equations
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized \varepsilon-Nash Equilibria
- Mean field games
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- Nonlinear SDEs driven by L\'evy processes and related PDEs
- On the interpretation of the master equation
- Probabilistic analysis of mean-field games
- Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
- Smoothing properties of McKean-Vlasov SDEs
- Some stochastic particle methods for nonlinear parabolic PDEs
- Strong existence and uniqueness for degenerate SDE with Hölder drift
- The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
- The Malliavin Calculus and Related Topics
- The master equation in mean field theory
Cited in
(61)- A unified approach to gradient type formulas for decoupled FBSDEs and some applications
- Differentiability of SDEs with drifts of super-linear growth
- Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
- Regularity for distribution-dependent SDEs driven by jump processes
- Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
- Superposition and mimicking theorems for conditional McKean-Vlasov equations
- The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition
- Regularity of laws for distribution dependent SDEs with fractional noises
- Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
- Smoothing properties of McKean-Vlasov SDEs
- An explicit Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion
- Moderate deviations for fully coupled multiscale weakly interacting particle systems
- Rate of homogenization for fully-coupled McKean–Vlasov SDEs
- Regularities and exponential ergodicity in entropy for SDEs driven by distribution dependent noise
- Bismut formula for Lions derivative of distribution-path dependent SDEs
- Asymptotic Bismut formula for Lions derivative of McKean-Vlasov neutral stochastic differential equations with infinite memory
- State-density flows of non-degenerate density-dependent mean field SDEs and associated PDEs
- Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients
- McKean--Vlasov SDEs in Nonlinear Filtering
- Density functions of distribution dependent SDEs driven by Lévy noises
- Itô-Krylov's formula for a flow of measures
- Distribution dependent SDEs driven by fractional Brownian motions
- scientific article; zbMATH DE number 2169688 (Why is no real title available?)
- Derivative estimates on distributions of McKean-Vlasov SDEs
- Derivative formula for singular McKean-Vlasov SDEs
- Ergodic control of McKean-Vlasov SDEs and associated Bellman equation
- Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows
- Smoothness of directed chain stochastic differential equations
- Sensitivity analysis for mean-field stochastic differential equations with jumps and its applications in option pricing
- Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients
- Well-posedness and propagation of chaos for McKean-Vlasov stochastic variational inequalities
- A second order analysis of McKean-Vlasov semigroups
- Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions
- Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation
- Bismut formula for Lions derivative of distribution dependent SDEs and applications
- Maximum likelihood estimation for small noise multi-scale McKean-Vlasov stochastic differential equations
- One-dimensional McKean-Vlasov stochastic variational inequalities and coupled BSDEs with locally Hölder noise coefficients
- Diffusion approximation for multi-scale McKean-Vlasov SDEs through different methods
- Double-loop importance sampling for McKean-Vlasov stochastic differential equation
- Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises
- Propagation of chaos in infinite horizon and numerical stability for stochastic McKean-Vlasov equations
- Mean-field stochastic differential equations and associated PDEs
- Actor-critic learning for mean-field control in continuous time
- Itô's formula for the flow of measures of Poisson stochastic integrals and applications
- Distribution-dependent SDEs with Hölder continuous drift and -stable noise
- Multilevel importance sampling for rare events associated with the McKean-Vlasov equation
- Convergence to equilibrium for a degenerate McKean-Vlasov equation
- Fractional McKean-Vlasov and Hamilton-Jacobi-Bellman-Isaacs equations
- Generators of measure-valued jump diffusions and convergence rate of diffusive mean-field models
- Malliavin differentiability of McKean-Vlasov SDEs with common noise
- Linearization of nonlinear Fokker-Planck equations and applications
- Explicit numerical approximations for McKean-Vlasov neutral stochastic differential delay equations
- Functional law of large numbers and central limit theorem for slow-fast McKean-Vlasov equations
- Central limit theorem over non-linear functionals of empirical measures with applications to the mean-field fluctuation of interacting diffusions
- Antithetic multilevel sampling method for nonlinear functionals of measure
- Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
- From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for McKean-Vlasov SDEs
- Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
- Weak quantitative propagation of chaos via differential calculus on the space of measures
- A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle
- Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations
This page was built for publication: Smoothing properties of McKean-Vlasov SDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1647925)
