RBDSDEs with jumps and optional Barrier and mean field game with common noise

DOI10.1080/17442508.2022.2113080zbMath1524.60118OpenAlexW4293579393MaRDI QIDQ6115727

Roger Pettersson, Naoual Mrhardy, Astrid Hilbert, Mohamed El Fatini, Badr-eddine Berrhazi

Publication date: 13 July 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2022.2113080

zbMATH Keywords

mean field gamereflected backward doubly stochastic differential equationsMertens decompositionstrong optional supermartingalecommon noise mean field Nash equilibrium

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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