Title :

Forward and Backward Stochastic Differential Equations with normal constraint in law

Author(s) :

Briand, Philippe [Auteur]
Laboratoire de Mathématiques [LAMA]
Cardaliaguet, Pierre [Auteur correspondant]
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Chaudru de Raynal, Paul-Eric [Auteur]
Laboratoire de Mathématiques [LAMA]
Hu, Ying [Auteur]
Institut de Recherche Mathématique de Rennes [IRMAR]

Journal title :

Stochastic Processes and their Applications

Pages :

7021-7097

Publisher :

Elsevier

Publication date :

2020

ISSN :

0304-4149

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]
Mathématiques [math]/Equations aux dérivées partielles [math.AP]

English abstract : [en]

In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding ...
Show more >In this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding "normal" vector. We also study the associated interacting particle system reflected in mean field and asymptotically described by such equations. The case of particles submitted to a common noise as well as the asymptotic system is studied in the forward case. Eventually, we connect the forward and backward stochastic differential equations with normal constraints in law with partial differential equations stated on the Wasserstein space and involving a Neumann condition in the forward case and an obstacle in the backward one.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

ANR Project :

Jeux Champs Moyen
IDEX UGA
Centre de Mathématiques Henri Lebesgue : fondements, interactions, applications et Formation

Collections :

• Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189

Source :

Harvested from HAL