Particles systems and numerical schemes for mean reflected stochastic differential equations

DOI10.1214/19-AAP1546zbMath1472.60093arXiv1612.06886MaRDI QIDQ2657927

Céline Labart, Philippe Briand, Paul-Eric Chaudru De Raynal, Arnaud Guillin

Publication date: 18 March 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.06886

zbMATH Keywords

particle systemMcKean-Vlasov SDEmean-reflected

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (11)

A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries ⋮ Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Backward doubly-stochastic differential equations with mean reflection ⋮ General mean reflected backward stochastic differential equations ⋮ Numerical methods for Stochastic differential equations: two examples ⋮ Transportation cost inequality for backward stochastic differential equations with mean reflection ⋮ Quadratic BSDEs with mean reflection ⋮ Mean reflected stochastic differential equations with jumps ⋮ Quadratic mean-field reflected BSDEs ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

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