CLT and MDP for McKean-Vlasov SDEs

Yongqiang Suo; Chenggui Yuan

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arXiv · 1910.04418

CLT and MDP for McKean-Vlasov SDEs

Yongqiang Suo·Chenggui Yuan

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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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Yongqiang Suo, Chenggui Yuan. 2019-10-10. CLT and MDP for McKean-Vlasov SDEs. https://arxiv.org/abs/1910.04418

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