Mean-field backward stochastic differential equations with subdifferrential operator and its applications
Probability
2013-10-23 v1
Abstract
In this paper, we deal with a class of mean-field backward stochastic differential equations with subdifferrential operator corresponding to a lower semi-continuous convex function. By means of Yosida approximation, the existence and uniqueness of the solution is established. As an application, we give a probability interpretation for the viscosity solutions of a class of nonlocal parabolic variational inequalities.
Keywords
Cite
@article{arxiv.1310.5845,
title = {Mean-field backward stochastic differential equations with subdifferrential operator and its applications},
author = {Wen Lu and Yong Ren and Lanying Hu},
journal= {arXiv preprint arXiv:1310.5845},
year = {2013}
}