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

DOI10.1016/J.SPA.2009.05.002zbMATH Open1183.60022arXiv0711.2167OpenAlexW1987280177MaRDI QIDQ734629FDOQ734629

Authors: Rainer Buckdahn, Juan Li, Shige Peng 

Publication date: 13 October 2009

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

Abstract: In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward SDEs, corresponding to a large number of ``particles (or ``agents). The objective of the present paper is to deepen the investigation of such Mean-Field BSDEs by studying them in a more general framework, with general driver, and to discuss comparison results for them. In a second step we are interested in partial differential equations (PDE) whose solutions can be stochastically interpreted in terms of Mean-Field BSDEs. For this we study a Mean-Field BSDE in a Markovian framework, associated with a Mean-Field forward equation. By combining classical BSDE methods, in particular that of ``backward semigroups" introduced by Peng [14], with specific arguments for Mean-Field BSDEs we prove that this Mean-Field BSDE describes the viscosity solution of a nonlocal PDE. The uniqueness of this viscosity solution is obtained for the space of continuous functions with polynomial growth. With the help of an example it is shown that for the nonlocal PDEs associated to Mean-Field BSDEs one cannot expect to have uniqueness in a larger space of continuous functions.

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

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zbMATH Keywords

backward stochastic differential equationscomparison theoremviscosity solutionMcKean-Vlasov equationdynamic programming principlemean-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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Cited In (only showing first 100 items - show all)

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• Existence and optimality conditions for relaxed mean-field stochastic control problems
• Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
• Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
• Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
• A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
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• Singular control optimal stopping of memory mean-field processes
• Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
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• Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
• Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
• Stochastic control for mean-field stochastic partial differential equations with jumps
• Stability of McKean-Vlasov stochastic differential equations and applications
• Partial derivative with respect to the measure and its application to general controlled mean-field systems
• Finite horizon mean-field stochastic \(H_2/H_\infty\) control for continuous-time systems with \((x,v)\)-dependent noise
• Mean-field-type games with jump and regime switching
• Generalized mean-field backward stochastic differential equations and related partial differential equations
• A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
• New Second-Order Schemes for Forward Backward Stochastic Differential Equations
• Mass-conserving stochastic partial differential equations and backward doubly stochastic differential equations
• Mean-field backward stochastic differential equations driven by fractional Brownian motion
• Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
• Mean-field backward stochastic differential equations in general probability spaces
• Discrete-time mean-field stochastic \(H_2/H_\infty\) control
• Output feedback \(H_{\infty}\) control for discrete-time mean-field stochastic systems
• Necessary/sufficient conditions for Pareto optimality in finite horizon mean-field type stochastic differential game
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• Solvability of a class of mean-field BSDEs with quadratic growth
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• General coupled mean-field reflected forward-backward stochastic differential equations
• Partially observed risk-sensitive stochastic control problems with non-convexity restriction
• Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls
• Mean-field reflected backward stochastic differential equations
• Mean-field type games between two players driven by backward stochastic differential equations
• A second-order stochastic maximum principle for generalized mean-field singular control problem
• Weak pullback mean random attractors for stochastic evolution equations and applications
• Explicit high order one-step methods for decoupled forward backward stochastic differential equations
• Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon
• Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
• \(H_\infty\) control for continuous-time mean-field stochastic systems
• Risk-Sensitive Mean-Field Type Control Under Partial Observation
• Numerical methods for mean-field stochastic differential equations with jumps
• Linear-quadratic mean field games
• Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
• On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
• Anticipated mean-field backward stochastic differential equations with jumps
• Mean-field stochastic differential equations driven by \(G\)-Brownian motion
• Risk-sensitive mean-field-type games with \(L^p\)-norm drifts
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
• A general stochastic maximum principle for SDEs of mean-field type
• Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
• Maximum principle for near-optimality of mean-field FBSDEs
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• Optimal control of mean-field jump-diffusion systems with noisy memory
• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
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• Dynamic optimization problems for mean-field stochastic large-population systems
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