Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
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Publication:2356559
DOI10.3934/mcrf.2015.5.501zbMath1327.60119MaRDI QIDQ2356559
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
viscosity solution; comparison theorem; value function; dynamic programming principle; controlled reflected mean-field backward stochastic differential equations
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
90C39: Dynamic programming
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
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Cites Work
- Mean-field reflected backward stochastic differential equations
- Mean-field backward stochastic differential equations and related partial differential equations
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