Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain

DOI10.1016/J.SYSCONLE.2021.105081MaRDI QIDQ2667765zbMATH OpenOpenAlexWikidataFDO

Authors Zhuangzhuang Xing

Publication date 1 March 2022

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2021.105081

zbMATH Keywords

penalization methodSobolev spaceweak solutionstochastic flowreflected mean-field BSDEreflected nonlocal PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Control/observation systems governed by partial differential equations (93C20) Stochastic systems in control theory (general) (93E03)

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Cites work

• A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers
• Adapted solution of a backward stochastic differential equation
• An asymmetric information mean-field type linear-quadratic stochastic Stackelberg differential game with one leader and two followers
• BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs
• Backward Stochastic Differential Equations in Finance
• Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• 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
• Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
• Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
• Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
• Weak solutions for SPDE's and backward doubly stochastic differential equations

Cited in

(4)

• Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
• Generalized mean-field backward stochastic differential equations and related partial differential equations
• Reflected BSDEs in non-convex domains
• Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs

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