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Central Limit Theorem and Moderate Deviation Principle for McKean-Vlasov SDEs

YONGQIANG SUO, Chenggui Yuan Orcid Logo

Acta Applicandae Mathematicae, Volume: 175, Issue: 1, Start page: 16

Swansea University Authors: YONGQIANG SUO, Chenggui Yuan Orcid Logo

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DOI (Published version): 10.1007/s10440-021-00444-z

Abstract

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 generalize the corresponding results for classical stochastic differe...

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Published in: Acta Applicandae Mathematicae
ISSN: 0167-8019 1572-9036
Published: Springer Science and Business Media LLC 2021
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa58388
Abstract: 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 generalize the corresponding results for classical stochastic differential equations to the distribution dependent setting.
Keywords: McKean-Vlasov SDEs; Central limit theorem; Moderate deviation principle; Weak convergence method; Exponential approximation
College: Faculty of Science and Engineering
Issue: 1
Start Page: 16

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