Bismut formula for Lions derivative of distribution-path dependent SDEs

DOI10.1016/j.jde.2021.02.019zbMath1470.60146arXiv2004.14629OpenAlexW3132911428MaRDI QIDQ2656245

Yanyan Li

Publication date: 11 March 2021

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.14629

zbMATH Keywords

Malliavin calculusBismut formulaLions derivativeasymptotic Bismut formuladistribution-path dependent SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (14)

Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion ⋮ Regularity for distribution-dependent SDEs driven by jump processes ⋮ Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations ⋮ Existence of invariant probability measures for functional McKean-Vlasov SDEs ⋮ Distribution dependent SDEs driven by fractional Brownian motions ⋮ Bismut formula for intrinsic/Lions derivatives of distribution dependent SDEs with singular coefficients ⋮ The averaging method for doubly perturbed distribution dependent SDEs ⋮ Asymptotic Bismut formulae for stochastic functional differential equations with infinite delay ⋮ Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs ⋮ Large and moderate deviation principles for path-distribution-dependent stochastic differential equations ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion ⋮ Derivative formula for singular McKean-Vlasov SDEs ⋮ Well-posedness and averaging principle of McKean-Vlasov SPDEs driven by cylindrical α-stable process

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