Proves classical and Malliavin differentiability for the McKean-Vlasov FBSDE in the weak formulation of stochastic differential mean-field games.
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On the Regularity of a Weak Formulation of Stochastic Differential Mean-Field Games
Proves classical and Malliavin differentiability for the McKean-Vlasov FBSDE in the weak formulation of stochastic differential mean-field games.