Derivative Formula for Singular McKean-Vlasov SDEs
Probability
2023-03-10 v5
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.
Keywords
Cite
@article{arxiv.2109.02030,
title = {Derivative Formula for Singular McKean-Vlasov SDEs},
author = {Feng-Yu Wang},
journal= {arXiv preprint arXiv:2109.02030},
year = {2023}
}
Comments
39 pages