Controlled mean-field backward stochastic differential equations with jumps involving the value function

DOI10.1007/s11424-016-4275-5zbMath1380.93290OpenAlexW2403383299MaRDI QIDQ1691939

Hui Min, Juan Li

Publication date: 25 January 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-016-4275-5

zbMATH Keywords

value functionPoisson random measureHamilton-Jacobi-Bellman (HJB) equationdynamic programming principle (DPP)meanfield backward stochastic differential equation (mean-field BSDE) with jump

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (7)

Numerical methods for mean-field stochastic differential equations with jumps ⋮ Mean-field backward stochastic differential equations and applications ⋮ An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations ⋮ \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations ⋮ Mean-field BSDEs with jumps and dual representation for global risk measures ⋮ Mean-field type games between two players driven by backward stochastic differential equations

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