Integration by Parts Formulas of Mckean-Vlasov SDEs with Jumps and Some Applications

Yao Chen; Jiagang Ren; Hua Zhang

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arXiv · 2605.21038

Integration by Parts Formulas of Mckean-Vlasov SDEs with Jumps and Some Applications

Yao Chen·Jiagang Ren·Hua Zhang

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Abstract

In this article, we establish integration by parts formulas for the solutions of McKean-Vlasov stochastic differential equations with jumps under elliptic coefficients. The derived formulas accommodate both derivatives with respect to real-valued variables and measure-valued variables, interpreted through the Lions' derivative. As applications, we obtain estimates for the derivatives of the density functions of the McKean-Vlasov SDEs, and relying on the integration by parts formulas, we subsequently prove the existence and uniqueness of classical solutions to the associated PDEs with irregular terminal conditions.

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Yao Chen, Jiagang Ren, Hua Zhang. 2026-05-20. Integration by Parts Formulas of Mckean-Vlasov SDEs with Jumps and Some Applications. https://arxiv.org/abs/2605.21038

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