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Central Limit Theorem and Moderate Deviation Principle for McKean-Vlasov SDEs
Acta Applicandae Mathematicae, Volume: 175, Issue: 1, Start page: 16
Swansea University Authors: YONGQIANG SUO, Chenggui Yuan
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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...
Published in: | Acta Applicandae Mathematicae |
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ISSN: | 0167-8019 1572-9036 |
Published: |
Springer Science and Business Media LLC
2021
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Online Access: |
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URI: | https://cronfa.swan.ac.uk/Record/cronfa58388 |
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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. |
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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 |