Mean-field backward stochastic differential equations and related partial differential equations

Author:

Buckdahn Rainer,Li Juan,Peng Shige

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference21 articles.

1. Backward stochastic differential equations and integral–partial differential equations;Barles;Stoch. Stoch. Rep.,1997

2. Some stochastic particle methods for nonlinear parabolic PDEs;Bossy;ESAIM Proc.,2005

3. A stochastic particle method for the McKean–Vlasov and the Burgers equation;Bossy;Math. Comput.,1997

4. Stochastic differential games and viscosity solutions of Hamilton–Jacobi–Bellman–Isaacs equations;Buckdahn;SIAM. J. Control. Optim.,2008

5. R. Buckdahn, B. Djehiche, J. Li, S. Peng, Mean-field backward stochastic differential equations. A limit approach, Ann. Probab. (2007) (in press). Available online http://www.imstat.org/aop/future_papers.htm

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