Extrinsic derivatives for SDEs and SPDEs with distribution dependent noise

arXiv (Cornell University) 2026 Preprint Open access

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Authors: Xiaochen Ma, Panpan Ren
DOI: 10.48550/arxiv.2602.10672
Cited by: 0

Abstract

The Bismut formula is a crucial tool characterizing regularities of stochastic systems, and has been extensively studied for various models. However it is not yet available for SDEs with distribution dependent noise. In this paper, we first establish a Bismut type formula for the extrinsic derivative of McKean-Vlasov SDEs driven by distribution dependent noise, then make an extension to a class of distribution dependent SPDEs.

Fields of Study & Subjects

Stochastic processes and financial applications Stochastic processes and statistical mechanics Nonlinear Partial Differential Equations

Publication details

Journal / source
arXiv (Cornell University)
Publication date
11 February 2026
Language
EN
Document type
Preprint