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

DOI10.1016/J.JMAA.2013.11.028MaRDI QIDQ2019214zbMATH OpenOpenAlexFDO

Authors 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

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)

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.

Recommendations

• Mean-field backward stochastic differential equations: A limit approach
• Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
• Mean-field reflected backward stochastic differential equations
• Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain
• Generalized mean-field backward stochastic differential equations and related partial differential equations

Cites work

• scientific article; zbMATH DE number 4211245 (Why is no real title available?)
• scientific article; zbMATH DE number 933353 (Why is no real title available?)
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
• A general stochastic maximum principle for SDEs of mean-field type
• A maximum principle for SDEs of mean-field type
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and integral-partial differential equations
• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
• Dynamics of the McKean-Vlasov equation
• Linear-quadratic mean field games
• McKean-Vlasov limit for interacting random processes in random media.
• McKean-Vlasov limit in portfolio optimization
• Mean field games
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Mean-field reflected backward stochastic differential equations
• Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Some stochastic particle methods for nonlinear parabolic PDEs
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• Stochastic maximum principle in the mean-field controls
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(19)

• Mean-field doubly reflected backward stochastic differential equations
• Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients
• Mean reflected stochastic differential equations with two constraints
• The mean field optimal switching problem: variational inequality approach
• A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
• Mean-field backward stochastic differential equations: A limit approach
• Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
• 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 subdifferential operator and its applications
• Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain
• 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

This page was built for publication: Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2019214)