Bismut Formula for Lions Derivative of Distribution Dependent SDEs and Applications

By using Malliavin calculus, Bismut type formulas are established for the Lions derivative of , where  0,  is a bounded measurable function,  and  solves a distribution dependent SDE with initial distribution . As applications, explicit estimates are derived for the Lions derivative and the total variational distance between distributions of   solutions with different initial data. Both degenerate and non-degenerate situations are considered. Due to the lack of the semi-group property  and the invalidity of the formula =  , essential difficulties are overcome in the study.

Joint work with Professor Feng-Yu Wang