Mean‐Field Forward‐Backward Doubly Stochastic Differential Equations and Related Nonlocal Stochastic Partial Differential Equations

Qingfeng Zhu and Yufeng Shi

Abstract and Applied Analysis, 2014, vol. 2014, issue 1

Abstract: Mean‐field forward‐backward doubly stochastic differential equations (MF‐FBDSDEs) are studied, which extend many important equations well studied before. Under some suitable monotonicity assumptions, the existence and uniqueness results for measurable solutions are established by means of a method of continuation. Furthermore, the probabilistic interpretation for the solutions to a class of nonlocal stochastic partial differential equations (SPDEs) combined with algebra equations is given.

Date: 2014
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https://doi.org/10.1155/2014/194341

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:194341

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