Derivative Formula for Singular McKean-Vlasov SDEs

Published 5 Sep 2021 in math.PR | (2109.02030v5)

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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Authors (1)

Feng-Yu Wang

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