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- Title
Derivative Formula for Singular McKean-Vlasov SDEs.
- Authors
Wang, Feng-Yu
- Abstract
By refining the Bismut formula for SDEs and analysing the distribution variable, the derivative formula is established for 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 characterize the regularity in initial distributions for distribution dependent stochastic systems, and are new also for classical SDEs.
- Subjects
SOBOLEV spaces; LIPSCHITZ spaces; CONTINUOUS distributions; STOCHASTIC systems
- Publication
Communications on Pure & Applied Analysis, 2023, Vol 22, Issue 6, p1
- ISSN
1534-0392
- Publication type
Article
- DOI
10.3934/cpaa.2023050