Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs

DOI10.1016/j.spa.2017.10.011zbMath1405.60078arXiv1702.05213WikidataQ114130818 ScholiaQ114130818MaRDI QIDQ1660313

Y. Aharonov

Publication date: 15 August 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.05213

zbMATH Keywords

value function; Itô's formula; BSDEs with jump; integral-PDE of mean-field type; mean-field BSDEs with jump

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60K35: Interacting random processes; statistical mechanics type models; percolation theory