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

DOI10.3934/mcrf.2015.5.501zbMath1327.60119MaRDI 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 solution; comparison theorem; value function; dynamic programming principle; controlled reflected mean-field backward stochastic differential equations

Mathematics Subject Classification ID

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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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
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• 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