Mean-field BSDEs with jumps and dual representation for global risk measures

DOI10.3934/puqr.2023002OpenAlexW4307785002MaRDI QIDQ2699279

Andreea Minca, Roxana Dumitrescu, Agnès Sulem, Rui Chen

Publication date: 26 April 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2023002

zbMATH Keywords

BSDEsdynamic risk measuresmean-field interactionssystem influence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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