Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs

DOI10.3934/MCRF.2015.5.501zbMath1327.60119OpenAlexW2523879138MaRDI QIDQ2356559

Juan Li, Wenqiang Li

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2015.5.501

zbMATH Keywords

viscosity solutioncomparison theoremvalue functiondynamic programming principlecontrolled reflected mean-field backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

Robust Control Problems of BSDEs Coupled with Value Functions

Cites Work

• Mean-field reflected backward stochastic differential equations
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward stochastic differential equations coupled with value function and related optimal control problems
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
• Backward stochastic differential equations and integral-partial differential equations
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• User’s guide to viscosity solutions of second order partial differential equations

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