Sensitivity of functionals of McKean-Vlasov SDE's with respect to the
initial distribution
Sensitivity of functionals of McKean-Vlasov SDE's with respect to the
initial distribution
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 …