Mean-field backward stochastic differential equations and related partial differential equations

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DOI10.1016/j.spa.2009.05.002zbMath1183.60022arXiv0711.2167OpenAlexW1987280177MaRDI QIDQ734629

Shige Peng, Rainer Buckdahn, Juan Li

Publication date: 13 October 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.2167

zbMATH Keywords

viscosity solution comparison theorem backward stochastic differential equations McKean-Vlasov equation dynamic programming principle mean-field models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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