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

DOI10.1016/J.SPA.2009.05.002MaRDI QIDQ734629zbMATH OpenOpenAlexFDO

Authors Rainer Buckdahn, Juan Li, Shige Peng

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

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)

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.

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Cited in

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• Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations
• Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
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• On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
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• Risk-sensitive mean-field-type games with L^p-norm drifts
• The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
• Controllability Gramian and Kalman rank condition for mean-field control systems
• Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
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• \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations
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• A maximum principle for SDEs of mean-field type
• 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
• Linear-quadratic delayed mean-field social optimization
• A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
• Backward-forward linear-quadratic mean-field games with major and minor agents
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• Optimal vaccination strategy for a mean-field stochastic susceptible-infected-vaccinated system
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• Optimal control and stabilization for linear continuous-time mean-field systems with delay
• Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
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• Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
• Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
• Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
• A nonhomogeneous mean-field linear-quadratic optimal control problem and application
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• Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
• Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems
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• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• Dynamic optimization problems for mean-field stochastic large-population systems
• Portfolio liquidation games with self‐exciting order flow
• Comparison theorems for multi-dimensional general mean-field BDSDES
• Stochastic maximum principle in the mean-field controls
• A stochastic maximum principle for partially observed general mean-field control problems with only weak solution
• Mean-field linear-quadratic stochastic differential games in an infinite horizon
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• Generalized mean-field backward stochastic differential equations and related partial differential equations
• Stochastic control of memory mean-field processes
• Quadratic mean-field reflected BSDEs
• Numerical schemes for fully coupled mean-field forward backward stochastic differential equations
• A two-mode mean-field optimal switching problem for the full balance sheet
• The relaxed optimal control problem for mean-field SDEs systems and application
• Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
• \(L^p\) solution of general mean-field BSDEs with continuous coefficients
• A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
• Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach
• Backward stochastic differential equations coupled with value function and related optimal control problems
• A mean-field necessary and sufficient conditions for optimal singular stochastic control

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