Backward stochastic differential equations with rank-based data

DOI10.1007/S11425-017-9125-6MaRDI QIDQ1705560zbMATH OpenOpenAlexFDO

Authors Zhen-Qing Chen, Xinwei Feng

Publication date 16 March 2018

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-017-9125-6

zbMATH Keywords

backward stochastic differential equationsnamed particlespartial differential equationsranked particlesreflected Brownian motionviscosity solution

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(3)

• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
• Reflected backward stochastic differential equation with rank-based data
• Two-barriers-reflected BSDE with rank-based data

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