Journal
JOURNAL OF FUNCTIONAL ANALYSIS
Volume 271, Issue 5, Pages 1262-1300Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jfa.2016.05.016
Keywords
Fokker-Planck-Kolmogorov equation; Total variation distance; Kantorovich distance; Mean field games
Categories
Funding
- DFG at Bielefeld University [SFB 701]
- RFBR projects at Moscow State University [14-01-00237, 15-31-20082]
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We estimate the total variation and Kantorovich distances between transition probabilities of two diffusions with different diffusion matrices and drifts via a natural quadratic distance between the drifts and diffusion matrices. Applications to non-linear Fokker-Planck-Kolmogorov equations, optimal control and mean field games are given. (C) 2016 Elsevier Inc. All rights reserved.
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