CLT and MDP for McKean-Vlasov SDEs

Published 10 Oct 2019 in math.PR | (1910.04418v2)

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.

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