Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs

DOI10.1016/j.jmaa.2013.11.028zbMath1308.60072arXiv1210.0628OpenAlexW2963271230MaRDI QIDQ2019214

Juan Li

Publication date: 27 March 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.0628

zbMATH Keywords

viscosity solutionbackward stochastic differential equationpenalization methodmean-field approachreflected BSDEmean-field BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (14)

Backward stochastic differential equations with mean reflection and two constraints ⋮ A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries ⋮ Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain ⋮ Backward multivalued McKean-Vlasov SDEs and associated variational inequalities ⋮ General coupled mean-field reflected forward-backward stochastic differential equations ⋮ Mean-field backward stochastic differential equations with subdifferential operator and its applications ⋮ Mean-field doubly reflected backward stochastic differential equations ⋮ Dynamic Programming Equation for the Mean Field Optimal Stopping Problem ⋮ A two-mode mean-field optimal switching problem for the full balance sheet ⋮ Mean-field reflected backward stochastic differential equations ⋮ Mean-field optimal multi-modes switching problem: A balance sheet ⋮ Quadratic mean-field reflected BSDEs ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients ⋮ Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs

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