Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs

DOI10.1016/J.JMAA.2013.11.028zbMATH Open1308.60072arXiv1210.0628OpenAlexW2963271230MaRDI QIDQ2019214FDOQ2019214

Authors: Juan Li 

Publication date: 27 March 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely probabilistic method, to characterize its limit which is the solution of mean-field backward stochastic differential equations (BSDEs) with reflections. On the other hand, we will prove that this type of reflected mean-field BSDEs can also be obtained as the limit equation of the mean-field BSDEs by penalization method. Finally, we give the probabilistic interpretation of the nonlinear and nonlocal partial differential equations with the obstacles by the solutions of reflected mean-field BSDEs.

Full work available at URL: https://arxiv.org/abs/1210.0628

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zbMATH Keywords

backward stochastic differential equationpenalization methodviscosity solutionmean-field approachreflected BSDEmean-field BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (19)

• Mean-field doubly reflected backward stochastic differential equations
• Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients
• The mean field optimal switching problem: variational inequality approach
• Mean reflected stochastic differential equations with two constraints
• A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
• Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
• Mean-field backward stochastic differential equations: A limit approach
• Quadratic mean-field reflected BSDEs
• A two-mode mean-field optimal switching problem for the full balance sheet
• Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
• Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain
• Mean-field backward stochastic differential equations with subdifferential operator and its applications
• Backward stochastic differential equations with mean reflection and two constraints
• Deep signature algorithm for multidimensional path-dependent options
• Mean-field optimal multi-modes switching problem: a balance sheet
• Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• General coupled mean-field reflected forward-backward stochastic differential equations
• Mean-field reflected backward stochastic differential equations

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