Concepedia

Mean-field backward stochastic differential equations and related partial differential equations

Rainer Buckdahn, Juan Li, Shigē Péng

Stochastic Processes and their Applications · 2009 · 334 citations · 19 references

Concepts

EngineeringMathematicsDifferential EquationsStochastic ModelingStochastic ProcessesBrownian MotionDiffusion ProcessesMarkov ProcessesPartial Differential EquationsStochastic CalculusStochastic Differential EquationsBackward Stochastic Differential EquationsMean-field ModelsMean-field Stochastic Differential EquationsNonlinear Partial Differential EquationsParabolic Partial Differential Equations

References

19

User’s guide to viscosity solutions of second order partial differential equations

Michael G. Crandall, Hitoshi Ishii, Pierre-Louis Lions · Bulletin of the American Mathematical Society · 1992 · 5K citations · Full text

Natural Sciences, Mathematics, Computational Fluid Dynamics +16

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Mathematics, Differential Equations +11

Adapted solution of a backward stochastic differential equation

Étienne Pardoux, Shigē Péng · Systems & Control Letters · 1990 · 2.8K citations

Engineering, Mathematics, Differential Equations +9

Mean field games

Jean‐Michel Lasry, Pierre-Louis Lions · Japanese journal of mathematics · 2007 · 2.6K citations

Backward Stochastic Differential Equations in Finance

Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations

Engineering, Economics, Finance +10