Mean-field reflected backward stochastic differential equations

Zhi Li; Jiaowan Luo

doi:10.1016/j.spl.2012.06.018

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Mean-field reflected backward stochastic differential equations

Zhi Li Jiaowan Luo

Year: 2012 Journal: Statistics & Probability Letters Vol: 82 (11)Pages: 1961-1968 Publisher: Elsevier BV

DOI: 10.1016/j.spl.2012.06.018

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Keywords:

Mathematics Lipschitz continuity Monotone polygon Uniqueness Stochastic differential equation Comparison theorem Mathematical analysis Fixed-point theorem Linear growth Picard–Lindelöf theorem Differential equation Applied mathematics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Nonlinear Differential Equations Analysis

Physical Sciences → Mathematics → Applied Mathematics

Stochastic processes and statistical mechanics

Physical Sciences → Mathematics → Mathematical Physics

Mean-field reflected backward stochastic differential equations

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