Mean-field backward stochastic differential equations and related partial differential equations
From MaRDI portal
(Redirected from Publication:734629)
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.
Recommendations
- Mean-field backward stochastic differential equations and applications
- Mean-field backward stochastic differential equations in general probability spaces
- Mean-field reflected backward stochastic differential equations
- Generalized mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward doubly stochastic differential equations and related SPDEs
Cites work
- scientific article; zbMATH DE number 4211245 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 933353 (Why is no real title available?)
- A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
- A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations and integral-partial differential equations
- Dynamics of the McKean-Vlasov equation
- McKean-Vlasov limit for interacting random processes in random media.
- Mean field games
- Mean-field backward stochastic differential equations: A limit approach
- Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
- Some stochastic particle methods for nonlinear parabolic PDEs
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(only showing first 100 items - show all)- Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
- Finite horizon mean-field stochastic \(H_2/H_\infty\) control for continuous-time systems with \((x,v)\)-dependent noise
- Mean-field backward stochastic differential equations and applications
- Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
- \(H_\infty\) control for continuous-time mean-field stochastic systems
- Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
- 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
- A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
- Forward and backward stochastic differential equations with normal constraints in law
- Mean-field-type games with jump and regime switching
- Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Backward-forward linear-quadratic mean-field games with major and minor agents
- Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls
- Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
- Generalized mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations with subdifferential operator and its applications
- 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
- Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
- Singular control optimal stopping of memory mean-field processes
- Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
- Solvability of a class of mean-field BSDEs with quadratic growth
- General coupled mean-field reflected forward-backward stochastic differential equations
- Discrete-time mean-field stochastic \(H_2/H_\infty\) control
- A Tale of a Principal and Many, Many Agents
- Mean-field reflected backward stochastic differential equations
- Partial derivative with respect to the measure and its application to general controlled mean-field systems
- Forward and backward mean-field stochastic partial differential equation and optimal control
- Necessary/sufficient conditions for Pareto optimality in finite horizon mean-field type stochastic differential game
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
- Strong solutions of mean-field stochastic differential equations with irregular drift
- Maximum principle for discrete-time stochastic control problem of mean-field type
- A maximum principle for fully coupled stochastic control systems of mean-field type
- Output feedback \(H_{\infty}\) control for discrete-time mean-field stochastic systems
- 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
- Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
- Extended mean-field control problem with partial observation
- Weak pullback mean random attractors for stochastic evolution equations and applications
- Existence and optimality conditions for relaxed mean-field stochastic control problems
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
- Mass-conserving stochastic partial differential equations and backward doubly stochastic differential equations
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- Stability of McKean-Vlasov stochastic differential equations and applications
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton-Jacobi-Bellman equations
- Stochastic control for mean-field stochastic partial differential equations with jumps
- Partially observed risk-sensitive stochastic control problems with non-convexity restriction
- Risk-Sensitive Mean-Field Type Control Under Partial Observation
- Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
- Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon
- A maximum principle for SDEs of mean-field type
- Stochastic maximum principle in the mean-field controls
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Some recent aspects of differential game theory
- Stochastic maximum principle for weighted mean-field system
- Dynamic optimization problems for mean-field stochastic large-population systems
- Maximum principle for mean-field SDEs under model uncertainty
- A maximum principle for mean-field SDEs with time change
- Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
- Nonlinear reserving in life insurance: aggregation and mean-field approximation
- On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
- A characterization of sub-game perfect equilibria for SDEs of mean-field type
- Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
- Anticipated mean-field backward stochastic differential equations with jumps
- Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs
- Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem
- Stochastic control of memory mean-field processes
- Mean-field type quadratic BSDEs
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- Mean-field SDEs with jumps and nonlocal integral-PDEs
- A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
- BSDEs with mean reflection
- Quadratic mean-field reflected BSDEs
- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
- Numerical methods for mean-field stochastic differential equations with jumps
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Mean-field anticipated BSDEs driven by time-changed Lévy noises
- A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes
- Multi-dimensional BSDEs with mean reflection
- Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
- Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
- A stochastic maximum principle for Markov chains of mean-field type
- 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
- On non-Markovian forward-backward SDEs and backward stochastic PDEs
- Optimal control of mean-field jump-diffusion systems with noisy memory
- Periodic measures of mean-field stochastic predator-prey system
- Periodic solutions in distribution of mean-field stochastic differential equations
- Mean-field stochastic differential equations driven by \(G\)-Brownian motion
- A stochastic maximum principle in mean-field optimal control problems for jump diffusions
- Maximum principle for near-optimality of mean-field FBSDEs
- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
This page was built for publication: Mean-field backward stochastic differential equations and related partial differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q734629)
