Derivative formula for singular McKean-Vlasov SDEs

DOI10.3934/CPAA.2023050MaRDI QIDQ6166271zbMATH OpenOpenAlexFDO

Authors Feng-Yu Wang

Publication date 6 July 2023

Published in Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.02030

zbMATH Keywords

Bismut formulaMcKean-Vlasov SDEsintrinsic derivative

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Averaging method for ordinary differential equations (34C29) Vlasov equations (35Q83)

Abstract: The Bismut formula is established for the intrinsic derivative of singular McKean-Vlasov SDEs, where the noise coefficient belongs to a local Sobolev space, and the drift contains a locally integrable time-space term as well as a time-space-distribution term Lipschitz continuous in the space and distribution variables. The results are new also for classical SDEs.

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Cited in

(8)

• The well-posedness and regularities for distribution-dependent SDEs with discontinuous and superlinear drifts
• Extrinsic derivative formula for distribution dependent SDEs
• Regularities and exponential ergodicity in entropy for SDEs driven by distribution dependent noise
• Sensitivity analysis for mean-field stochastic differential equations with jumps and its applications in option pricing
• Singular density dependent stochastic differential equations
• Log-Harnack inequality and Bismut formula for McKean-Vlasov SDEs with singularities in all variables
• Weak and strong averaging principle for non-autonomous slow-fast McKean-Vlasov SDEs with almost periodic coefficients
• Probability distance estimates between diffusion processes and applications to singular McKean-Vlasov SDEs

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