Mean-field backward stochastic differential equations in general probability spaces

DOI10.1016/J.AMC.2015.04.014MaRDI QIDQ1663545zbMATH OpenOpenAlexFDO

Authors Yong Ren, Lanying Hu, Wen Lu

Publication date 21 August 2018

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2015.04.014

zbMATH Keywords

differential equationcomparison theoremmean-field backward stochasticStieltjes measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 3121490 (Why is no real title available?)
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• McKean-Vlasov limit in portfolio optimization
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• Mean-field reflected backward stochastic differential equations
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• Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
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• The multiplicity of an increasing family of \(\sigma\)-fields
• Zero-sum stochastic differential games and backward equations

Cited in

(7)

• Mean-field backward stochastic differential equations and applications
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equation with non-Lipschitz coefficient
• Existence, uniqueness and comparisons for BSDEs in general spaces
• Mean-field reflected backward stochastic differential equations
• General mean-field BSDEs with continuous coefficients

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