Backward multivalued McKean-Vlasov SDEs and associated variational inequalities

DOI10.3934/DCDSS.2022207MaRDI QIDQ6107302zbMATH OpenOpenAlexFDO

Authors Huijie Qiao, Jun Gong

Publication date 3 July 2023

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.11484

zbMATH Keywords

backward multivalued McKean-Vlasov stochastic differential equationsmaximal monotone operatorsviscosity solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it is presented that their solutions depend continuously on the terminal values. Finally, we give a probabilistic interpretation for viscosity solutions of nonlocal quasi-linear parabolic variational inequalities.

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Cited in

(9)

• Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
• Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
• Decomposition of backward SLE in the capacity parametrization
• Large deviation for multivalued backward stochastic differential equations
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