Backward multivalued McKean-Vlasov SDEs and associated variational inequalities

Jun Gong; Huijie Qiao

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arXiv · 2110.11484

Backward multivalued McKean-Vlasov SDEs and associated variational inequalities

Jun Gong·Huijie Qiao

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Abstract

The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it is presented that their solutions depend continuously on the terminal values. Finally, we give a probabilistic interpretation for viscosity solutions of nonlocal quasi-linear parabolic variational inequalities.

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Jun Gong, Huijie Qiao. 2021-10-21. Backward multivalued McKean-Vlasov SDEs and associated variational inequalities. https://arxiv.org/abs/2110.11484

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