Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients

Goncalo Dos Reis, Zac Wilde

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

In this short note, we establish Malliavin differentiability of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts satisfying both a locally Lipschitz and a one-sided Lipschitz assumption, and where the diffusion coefficient is assumed to be uniformly Lipschitz in its variables.
As a secondary contribution, we investigate how Malliavin differentiability transfers across the interacting particle system associated with the McKean-Vlasov equation to its limiting equation. This final result requires both spatial and measure differentiability of the coefficients and doubles as a standalone result of independent interest since the study of Malliavin derivatives of weakly interacting particle systems seems novel to the literature. The presentation is didactic and finishes with a discussion on mollification techniques for the Lions derivative.
Original languageEnglish
JournalBoletim da Sociedade Portuguesa de Matemática
Publication statusAccepted/In press - 19 Aug 2024

Fingerprint

Dive into the research topics of 'Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients'. Together they form a unique fingerprint.

Cite this