Backward stochastic differential equations with rank-based data

DOI10.1007/s11425-017-9125-6zbMath1390.60202OpenAlexW2772772439MaRDI QIDQ1705560

Xinwei Feng, Zhen-Qing Chen

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

viscosity solutionbackward stochastic differential equationspartial differential equationsreflected Brownian motionnamed particlesranked particles

Mathematics Subject Classification ID

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

Related Items

Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality, Reflected backward stochastic differential equation with rank-based data

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