Backward stochastic differential equations with rank-based data
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Publication:1705560
DOI10.1007/s11425-017-9125-6zbMath1390.60202OpenAlexW2772772439MaRDI QIDQ1705560
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
viscosity solutionbackward stochastic differential equationspartial differential equationsreflected Brownian motionnamed particlesranked particles
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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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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