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<p>We study a McKean–Vlasov forward–backward stochastic differential equation (FBSDE) in connection with the theory of stochastic differential mean-field games, particularly the weak (non-fully coupled) formulation described in Section 3.3.1 of [<CitationRef CitationID="CR6">6</CitationRef>]. Our main goal is to obtain regularity results for this McKean–Vlasov FBSDE, specifically classical and Malliavin differentiability.</p>

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On the regularity of a weak formulation of stochastic differential mean-field games

  • 期刊论文

  • 发表日期：

    2026年6月16日

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  • Héctor Sánchez Morgado,
  • Jesús Sierra

摘要

We study a McKean–Vlasov forward–backward stochastic differential equation (FBSDE) in connection with the theory of stochastic differential mean-field games, particularly the weak (non-fully coupled) formulation described in Section 3.3.1 of [6]. Our main goal is to obtain regularity results for this McKean–Vlasov FBSDE, specifically classical and Malliavin differentiability.