Mean-field backward stochastic differential equations with subdifferential operator and its applications

DOI10.1016/J.SPL.2015.06.022MaRDI QIDQ900533zbMATH OpenOpenAlexFDO

Authors Wen Lu, Yong Ren, Lanying Hu

Publication date 22 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.5845

zbMATH Keywords

viscosity solutionsMcKean-Vlasov equationYosida approximationsubdifferential operatorparabolic variational inequalitiesmean-field backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper, we deal with a class of mean-field backward stochastic differential equations with subdifferrential operator corresponding to a lower semi-continuous convex function. By means of Yosida approximation, the existence and uniqueness of the solution is established. As an application, we give a probability interpretation for the viscosity solutions of a class of nonlocal parabolic variational inequalities.

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Cited in

(8)

• Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
• Backward stochastic differential equations with jumps involving a subdifferential operator
• Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
• Generalized mean-field backward stochastic differential equations and related partial differential equations
• Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
• A stochastic approach to a new type of parabolic variational inequalities
• Large deviation for mean-field stochastic differential equations with subdifferential operator
• Multi-valued backward stochastic differential equations driven by \(G\)-Brownian motion and its applications

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