Sensitivity of functionals of McKean-Vlasov SDEs with respect to the initial distribution

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Authors: Filippo de Feo, Salvatore Federico, Fausto Gozzi, Nizar Touzi
Cited by: 0
References: 15

Abstract

We examine the sensitivity at the origin of the distributional robust optimization problem in the context of a model generated by a mean field stochastic differential equation. We adapt the finite dimensional argument developed by Bartl, Drapeau, Obloj & Wiesel to our framework involving the infinite dimensional gradient of the solution of the mean field SDE with respect to its initial data. We revisit the derivation of this gradient process as previously introduced by Buckdahn, Li & Peng, and we complement the existing properties so as to satisfy the requirement of our main result. We use the theory developed in the context of a mean-field systemic risk model by evaluating the sensitivity with respect to the initial distribution for the variance of the log-monetary reserve of a representative bank.

Fields of Study & Subjects

Stochastic processes and financial applications Risk and Portfolio Optimization Financial Risk and Volatility Modeling

Publication details

Journal / source
Stochastic Processes and their Applications
Volume
195
Pages
104868–104868
Publication date
3 January 2026
Language
EN