Probabilistic interpretation for Sobolev solutions of McKean–Vlasov partial differential equations
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DOI: 10.1016/j.spl.2018.10.001
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- 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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Keywords
Mean-field BSDEs; McKean–Vlasov SDEs; McKean–Vlasov PDEs; Sobolev solution; Stochastic flow;All these keywords.
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