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Mean-field reflected backward stochastic differential equations · Study

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ArticleMean-field reflected backward stochastic differential equations

Zhi Li2012

Article2012

Mean-field reflected backward stochastic differential equations

Zhi Li · Jiaowan Luo

18 citations·0/0 files stored·Statistics & Probability Letters

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

2007Mean field games 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 2009Mean-field backward stochastic differential equations: A limit approach 1987Stochastic differential equations for multi-dimensional domain with reflecting boundary 1995A semilinear Mckean-Vlasov stochastic evolution equation in Hilbert space 2013Mean-field backward stochastic Volterra integral equations 2010McKean–Vlasov Limit in Portfolio Optimization 2007Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control

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2013Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEsarticle · 5 shared references 2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equationsarticle · 4 shared references 2020Indefinite mean-field type linear–quadratic stochastic optimal control problemsarticle · 4 shared references 2013Mean-field backward stochastic Volterra integral equationsarticle · 3 shared references 2012A Stochastic Maximum Principle for a Stochastic Differential Game of a Mean-Field Typearticle · 3 shared references 2014Stochastic Differential Equationschapter · 2 shared references

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Year2012

Typearticle

Published2012-06-26

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spl.2012.06.018

openalex_workW1964653656

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