arXiv:2006.16731 Abstract | arXiv Analytics

arXiv:2006.16731 [math.PR]Abstract References Reviews Resources

Derivative Estimates on Distributions of McKean-Vlasov SDEs

Published 2020-06-30Version 1

By using the heat kernel parameter expansion with respect to the frozen SDEs, the intrinsic derivative is estimated for the law of Mckean-Vlasov SDEs with respect to the initial distribution. As an application, the total variation distance between the laws of two solutions is bounded by the Wasserstein distance for initial distributions. These extend some recent results proved for distribution-free noise by using the coupling method and Malliavin calculus.

Comments: 15 pages

Categories: math.PR

Keywords: mckean-vlasov sdes, derivative estimates, initial distribution, heat kernel parameter expansion, total variation distance

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