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

Wen Lu, Yong Ren and Lanying Hu

Statistics & Probability Letters, 2015, vol. 106, issue C, 73-81

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.

Keywords: Mean-field; Backward stochastic differential equation; Subdifferential operator; McKean–Vlasov equation; Viscosity solution (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.06.022

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