Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
From MaRDI portal
Publication:2019214
DOI10.1016/j.jmaa.2013.11.028zbMath1308.60072arXiv1210.0628OpenAlexW2963271230MaRDI QIDQ2019214
Publication date: 27 March 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.0628
viscosity solutionbackward stochastic differential equationpenalization methodmean-field approachreflected BSDEmean-field BSDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items
Backward stochastic differential equations with mean reflection and two constraints, A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries, Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain, Backward multivalued McKean-Vlasov SDEs and associated variational inequalities, General coupled mean-field reflected forward-backward stochastic differential equations, Mean-field backward stochastic differential equations with subdifferential operator and its applications, Mean-field doubly reflected backward stochastic differential equations, Dynamic Programming Equation for the Mean Field Optimal Stopping Problem, A two-mode mean-field optimal switching problem for the full balance sheet, Mean-field reflected backward stochastic differential equations, Mean-field optimal multi-modes switching problem: A balance sheet, Quadratic mean-field reflected BSDEs, Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients, Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
Cites Work
- Unnamed Item
- Unnamed Item
- Linear-quadratic mean field games
- A maximum principle for SDEs of mean-field type
- Adapted solution of a backward stochastic differential equation
- A general stochastic maximum principle for SDEs of mean-field type
- Mean-field reflected backward stochastic differential equations
- Mean-field backward stochastic differential equations and related partial differential equations
- Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
- Mean-field backward stochastic differential equations: A limit approach
- Mean field games
- Dynamics of the McKean-Vlasov equation
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- McKean-Vlasov limit for interacting random processes in random media.
- A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
- A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
- Stochastic maximum principle in the mean-field controls
- Stochastic differential games with reflection and related obstacle problems for Isaacs equations
- Backward stochastic differential equations and integral-partial differential equations
- Some stochastic particle methods for nonlinear parabolic PDEs
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- User’s guide to viscosity solutions of second order partial differential equations
- Backward Stochastic Differential Equations in Finance
- McKean–Vlasov Limit in Portfolio Optimization
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
