Mean-field backward stochastic differential equations and related partial differential equations
نویسندگان
چکیده
منابع مشابه
N ov 2 00 7 Mean - Field Backward Stochastic Differential Equations and Related Partial Differential Equations ∗
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward SDEs, corresponding to a large number of “particles” (or “agents”). The objective of the present paper is to deepen the investigation of such Mean-Field BSD...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2009
ISSN: 0304-4149
DOI: 10.1016/j.spa.2009.05.002