Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs
type: Item
instance of: scholarly article
title: Central limit theorem and moderate deviation principle for McKean-Vlasov SDEs
zbMATH Open document ID: 1478.60103
author: Yongqiang Suo
author: Chenggui Yuan
published in: Acta Applicandae Mathematicae
publication date: 2021-11-24T00:00:00Z
review text: The authors investigate the central limit theorem and the moderate deviation principle for solutions of McKean-Vlasov SDEs using the weak convergence approach. More precisely, the authors first show that the law of the solution to a good approximation SDE of the underlying McKean-Vlasov SDEs satisfies an large deviation principle via weak convergence method. It is worth noting that the weak convergence approach results in a convenient representation formula for the rate function. Secondly, the authors show that the solution to an approximation SDE and the solution to the McKean-Vlasov SDEs are exponentially equivalent as the deviation scale tends to zero.
reviewed by: Feng Chen
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34K26
zbMATH DE Number: 7432895
zbMATH Keywords: McKean-Vlasov SDEs
zbMATH Keywords: central limit theorem
zbMATH Keywords: moderate deviation principle
zbMATH Keywords: weak convergence method
zbMATH Keywords: exponential approximation
MaRDI profile type: Publication
full work available at URL: s10440-021-00444-z
OpenAlex ID: W3205326890
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DOI: 10.1007/S10440-021-00444-Z
description: scientific article; zbMATH DE number 7432895