Backward multivalued McKean-Vlasov SDEs and associated variational inequalities
Probability
2022-12-09 v3
Abstract
The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it is presented that their solutions depend continuously on the terminal values. Finally, we give a probabilistic interpretation for viscosity solutions of nonlocal quasi-linear parabolic variational inequalities.
Keywords
Cite
@article{arxiv.2110.11484,
title = {Backward multivalued McKean-Vlasov SDEs and associated variational inequalities},
author = {Jun Gong and Huijie Qiao},
journal= {arXiv preprint arXiv:2110.11484},
year = {2022}
}
Comments
26 pages