Mean-field backward stochastic differential equations: A limit approach

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DOI10.1214/08-AOP442zbMath1176.60042arXiv0711.2162MaRDI QIDQ838008

Shige Peng, Rainer Buckdahn, Boualem Djehiche, Juan Li

Publication date: 21 August 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.2162

zbMATH Keywords

weak convergence tightness backward stochastic differential equation mean-field approach mckean-vlasov equation mean-field BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Convergence of probability measures (60B10)

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