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

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

Shige Peng, Juan Li, Rainer Buckdahn

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

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

35K65: Degenerate parabolic equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

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