Derivative Formula for Singular McKean-Vlasov SDEs

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.

39 pages

References in corpus (3)

• A Zvonkin's transformation for stochastic differential equations with singular drift and related applications
• Distribution Dependent Reflecting Stochastic Differential Equations
• Exponential Ergodicity for Singular Reflecting McKean-Vlasov SDEs

Cited by in corpus (1)

• State-Density Flows of Non-Degenerate Density-Dependent Mean Field SDEs and Associated PDEs