Mean-field backward stochastic differential equations with subdifferential operator and its applications
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Publication:900533
DOI10.1016/j.spl.2015.06.022zbMath1329.60190arXiv1310.5845OpenAlexW2525614238MaRDI QIDQ900533
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
viscosity solutionsMcKean-Vlasov equationYosida approximationsubdifferential operatorparabolic variational inequalitiesmean-field backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)
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