CLT and MDP for McKean-Vlasov SDEs

2019/10/10 by Yongqiang Suo, Chenggui Yuan, Suo, Yongqiang +1
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Gas Dynamics and Kinetic Theory #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1910.04418

openalex publication_date 2019/10/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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