CLT and MDP for McKean-Vlasov SDEs

Abstract

Under a Lipschitz condition on distribution dependent coefficients, the central limit theorem and the moderate deviation principle are obtained for solutions of McKean-Vlasov type stochastic differential equations, which extend from the corresponding results for classical stochastic differential equations to the distribution dependent setting.

18pages

References in corpus (1)

• Large deviations and a Kramers' type law for self-stabilizing diffusions