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Mean-field backward stochastic differential equations with subdifferential operator and its applications

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  • Lu, Wen
  • Ren, Yong
  • Hu, Lanying

Abstract

In this paper, we deal with a class of mean-field backward stochastic differential equations with subdifferential operator corresponding to a lower semi-continuous convex function. By means of Yosida approximation, the existence and uniqueness of the solution is established. As an application, we give a probability interpretation for the viscosity solutions of a class of nonlocal parabolic variational inequalities.

Suggested Citation

  • Lu, Wen & Ren, Yong & Hu, Lanying, 2015. "Mean-field backward stochastic differential equations with subdifferential operator and its applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 73-81.
    • Handle: RePEc:eee:stapro:v:106:y:2015:i:c:p:73-81
    DOI: 10.1016/j.spl.2015.06.022
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    References listed on IDEAS

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    4. Buckdahn, Rainer & Li, Juan & Peng, Shige, 2009. "Mean-field backward stochastic differential equations and related partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3133-3154, October.
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