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

DOI10.1016/j.jmaa.2013.11.028zbMath1308.60072arXiv1210.0628MaRDI QIDQ2019214

Juan Li

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

zbMATH Keywords

viscosity solution; backward stochastic differential equation; penalization method; mean-field approach; reflected BSDE; mean-field BSDE

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

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