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arXiv · 2105.11116

Bismut Formula for Intrinsic/Lions Derivatives of Distribution Dependent SDEs with Singular Coefficients

Xing Huang·Yulin Song·Feng-Yu Wang
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Abstract

By using distribution dependent Zvonkin's transforms and Malliavin calculus, the Bismut type formula is derived for the intrinisc/Lions derivatives of distribution dependent SDEs with singular drifts, which generalizes the corresponding results derived for classical SDEs and regular distribution dependent SDEs.

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Xing Huang, Yulin Song, Feng-Yu Wang. 2021-05-24. Bismut Formula for Intrinsic/Lions Derivatives of Distribution Dependent SDEs with Singular Coefficients. https://arxiv.org/abs/2105.11116

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