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2021 Derivative estimates on distributions of McKean-Vlasov SDEs
Xing Huang, Feng-Yu Wang
Author Affiliations +
Electron. J. Probab. 26: 1-12 (2021). DOI: 10.1214/21-EJP582

Abstract

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.

Funding Statement

Supported in part by the National Key R&D Program of China (No. 2020YFA0712900) and NNSFC (11771326, 11831014, 11801406, 11921001).

Acknowledgments

We are grateful to the editors and referees.

Citation

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Xing Huang. Feng-Yu Wang. "Derivative estimates on distributions of McKean-Vlasov SDEs." Electron. J. Probab. 26 1 - 12, 2021. https://doi.org/10.1214/21-EJP582

Information

Received: 30 June 2020; Accepted: 10 January 2021; Published: 2021
First available in Project Euclid: 3 March 2021

Digital Object Identifier: 10.1214/21-EJP582

Subjects:
Primary: 60G44, 60H1075

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