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

Wen Lu; Yong Ren; Lanying Hu

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arXiv · 1310.5845

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

Wen Lu·Yong Ren·Lanying Hu

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Abstract

In this paper, we deal with a class of mean-field backward stochastic differential equations with subdifferrential 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.

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Wen Lu, Yong Ren, Lanying Hu. 2013-10-22. Mean-field backward stochastic differential equations with subdifferrential operator and its applications. https://arxiv.org/abs/1310.5845

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