Mean-field reflected backward stochastic differential equations

DOI10.1016/j.spl.2012.06.018zbMath1251.60049arXiv1911.06079OpenAlexW1964653656MaRDI QIDQ712528

Zhi Li, Luo, Jiaowan

Publication date: 17 October 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.06079

zbMATH Keywords

comparison theoremexistence and uniqueness theoremmean-field reflected backward stochastic differential equations

Mathematics Subject Classification ID

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

Related Items (9)

Mean-field backward stochastic differential equations in general probability spaces ⋮ Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain ⋮ Harnack inequality for mean-field stochastic differential equations ⋮ Backward multivalued McKean-Vlasov SDEs and associated variational inequalities ⋮ General coupled mean-field reflected forward-backward stochastic differential equations ⋮ A two-mode mean-field optimal switching problem for the full balance sheet ⋮ Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs ⋮ Mean-field optimal multi-modes switching problem: A balance sheet ⋮ Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs

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