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)

• Numerical methods for mean-field stochastic differential equations with jumps
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• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• A stochastic maximum principle for general mean-field systems
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