کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4615818 1339330 2014 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
چکیده انگلیسی

Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely probabilistic method, to characterize its limit which is the solution of mean-field backward stochastic differential equations (BSDEs) with reflections. On the other hand, we will prove that this type of reflected mean-field BSDEs can also be obtained as the limit equation of the mean-field BSDEs by penalization method. Finally, we give the probabilistic interpretation of the nonlinear and nonlocal partial differential equations with the obstacles by the solutions of reflected mean-field BSDEs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 413, Issue 1, 1 May 2014, Pages 47–68
نویسندگان
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