derivative with respect to measureKusuoka-Stroock functionsMalliavin calculusMcKean-Vlasov stochastic differential equationuniformly elliptic coefficientsWiener space
Ordinary differential equations and systems with randomness (34F05) Nonlinear parabolic equations (35K55) Degenerate parabolic equations (35K65) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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.
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(61)- Smoothing properties of McKean-Vlasov SDEs
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