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

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Cited by:

  1. Yufeng Shi & Jinghan Wang, 2024. "General Mean-Field BDSDEs with Stochastic Linear Growth and Discontinuous Generator," Mathematics, MDPI, vol. 12(7), pages 1-15, March.
  2. Lu, Wen & Ren, Yong & Hu, Lanying, 2015. "Mean-field backward stochastic differential equations in general probability spaces," Applied Mathematics and Computation, Elsevier, vol. 263(C), pages 1-11.
  3. Bender, Christian, 2014. "Backward SDEs driven by Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2892-2916.
  4. Yu, Xianye & Zhang, Mingbo, 2020. "Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 159(C).
  5. Alexander Kalinin & Thilo Meyer-Brandis & Frank Proske, 2024. "Stability, Uniqueness and Existence of Solutions to McKean–Vlasov Stochastic Differential Equations in Arbitrary Moments," Journal of Theoretical Probability, Springer, vol. 37(4), pages 2941-2989, November.
  6. Salah Eddine Choutri & Tembine Hamidou, 2018. "A Stochastic Maximum Principle for Markov Chains of Mean-Field Type," Games, MDPI, vol. 9(4), pages 1-21, October.
  7. Roxana Dumitrescu & Bernt Øksendal & Agnès Sulem, 2018. "Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps," Journal of Optimization Theory and Applications, Springer, vol. 176(3), pages 559-584, March.
  8. Briand, Philippe & Cardaliaguet, Pierre & Chaudru de Raynal, Paul-Éric & Hu, Ying, 2020. "Forward and backward stochastic differential equations with normal constraints in law," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7021-7097.
  9. Li, Hanwu, 2024. "Backward stochastic differential equations with double mean reflections," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
  10. Aurell, Alexander & Djehiche, Boualem, 2019. "Modeling tagged pedestrian motion: A mean-field type game approach," Transportation Research Part B: Methodological, Elsevier, vol. 121(C), pages 168-183.
  11. Wu, Zhen & Xu, Ruimin, 2019. "Probabilistic interpretation for Sobolev solutions of McKean–Vlasov partial differential equations," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 273-283.
  12. Alain Bensoussan & Boualem Djehiche & Hamidou Tembine & Sheung Chi Phillip Yam, 2020. "Mean-Field-Type Games with Jump and Regime Switching," Dynamic Games and Applications, Springer, vol. 10(1), pages 19-57, March.
  13. Alexander Aurell, 2018. "Mean-Field Type Games between Two Players Driven by Backward Stochastic Differential Equations," Games, MDPI, vol. 9(4), pages 1-26, November.
  14. Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
  15. Sin, Myong-Guk & Ri, Kyong-Il & Kim, Kyong-Hui, 2022. "Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 190(C).
  16. Buckdahn, Rainer & Chen, Yajie & Li, Juan, 2021. "Partial derivative with respect to the measure and its application to general controlled mean-field systems," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 265-307.
  17. Cai, Yujie & Huang, Jianhui & Maroulas, Vasileios, 2015. "Large deviations of mean-field stochastic differential equations with jumps," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 1-9.
  18. Romuald Elie & Thibaut Mastrolia & Dylan Possamaï, 2019. "A Tale of a Principal and Many, Many Agents," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 440-467, May.
  19. Mokhtar Hafayed & Syed Abbas, 2014. "On Near-Optimal Mean-Field Stochastic Singular Controls: Necessary and Sufficient Conditions for Near-Optimality," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 778-808, March.
  20. R. Buckdahn & P. Cardaliaguet & M. Quincampoix, 2011. "Some Recent Aspects of Differential Game Theory," Dynamic Games and Applications, Springer, vol. 1(1), pages 74-114, March.
  21. Hao, Tao & Wen, Jiaqiang & Xiong, Jie, 2022. "Solvability of a class of mean-field BSDEs with quadratic growth," Statistics & Probability Letters, Elsevier, vol. 191(C).
  22. Kamal Boukhetala & Jean-François Dupuy, 2019. "Modélisation Stochastique et Statistique Book of Proceedings," Post-Print hal-02593238, HAL.
  23. Klimsiak, Tomasz & Rzymowski, Maurycy, 2023. "Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 424-450.
  24. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
  25. Mokhtar Hafayed & Syed Abbas & Abdelmadjid Abba, 2015. "On Mean-Field Partial Information Maximum Principle of Optimal Control for Stochastic Systems with Lévy Processes," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 1051-1069, December.
  26. Qun Shi, 2021. "Generalized Mean-Field Fractional BSDEs With Non-Lipschitz Coefficients," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(3), pages 1-77, June.
  27. Boualem Djehiche & Minyi Huang, 2016. "A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type," Dynamic Games and Applications, Springer, vol. 6(1), pages 55-81, March.
  28. Shujun Wang, 2025. "Backward Anticipated Social Optima: Input Constraints and Partial Information," Mathematics, MDPI, vol. 13(2), pages 1-27, January.
  29. Bensoussan, A. & Yam, S.C.P. & Zhang, Z., 2015. "Well-posedness of mean-field type forward–backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3327-3354.
  30. Li, Juan & Liang, Hao & Mi, Chao, 2023. "A stochastic maximum principle for partially observed general mean-field control problems with only weak solution," Stochastic Processes and their Applications, Elsevier, vol. 165(C), pages 397-439.
  31. Boualem Djehiche & Hamidou Tembine, 2014. "Risk-Sensitive Mean-Field Type Control under Partial Observation," Papers 1411.7231, arXiv.org.
  32. Pei Zhang & Nur Anisah Mohamed & Adriana Irawati Nur Ibrahim, 2023. "Mean-Field and Anticipated BSDEs with Time-Delayed Generator," Mathematics, MDPI, vol. 11(4), pages 1-13, February.
  33. Kaitong Hu & Zhenjie Ren & Junjian Yang, 2019. "Principal-agent problem with multiple principals," Working Papers hal-02088486, HAL.
  34. Li, Juan, 2018. "Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 3118-3180.
  35. Zong, Gaofeng & Chen, Zengjing, 2013. "Harnack inequality for mean-field stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1424-1432.
  36. Wei Zhang & Hui Min, 2023. "$$L^p$$ L p -Error Estimates for Numerical Schemes for Solving Certain Kinds of Mean-Field Backward Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 36(2), pages 762-778, June.
  37. Douissi, Soukaina & Wen, Jiaqiang & Shi, Yufeng, 2019. "Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 282-298.
  38. 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.
  39. A. Bensoussan & K. C. J. Sung & S. C. P. Yam & S. P. Yung, 2016. "Linear-Quadratic Mean Field Games," Journal of Optimization Theory and Applications, Springer, vol. 169(2), pages 496-529, May.
  40. Meijiao Wang & Qingxin Meng & Yang Shen & Peng Shi, 2023. "Stochastic $$H_{2}/H_{\infty }$$ H 2 / H ∞ Control for Mean-Field Stochastic Differential Systems with (x, u, v)-Dependent Noise," Journal of Optimization Theory and Applications, Springer, vol. 197(3), pages 1024-1060, June.
  41. Chaudru de Raynal, P.E. & Garcia Trillos, C.A., 2015. "A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(6), pages 2206-2255.
  42. Vassili Kolokoltsov & Marianna Troeva & Wei Yang, 2014. "On the Rate of Convergence for the Mean-Field Approximation of Controlled Diffusions with Large Number of Players," Dynamic Games and Applications, Springer, vol. 4(2), pages 208-230, June.
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