Backward doubly-stochastic differential equations with mean reflection

被引：0

作者：

Qian, Hongchao ^{[1
]}

Peng, Jun ^{[1
]}

机构：

[1] Cent South Univ, Sch Math & Stat, Changsha 410075, Peoples R China

来源：

PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK | 2023年 / 8卷 / 04期

关键词：

Mean reflection; Backward doubly-stochastic differential equation; Penalization; Stochastic partial differential equations; PARTICLES SYSTEMS; BSDES; OBSTACLE; SDES;

D O I：

10.3934/puqr.2023019

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we study a class of mean-reflected backward doubly stochastic differential equations (MR-BDSDEs), where the constraint depends on the law of the solution and not on its paths. The existence and uniqueness of these solutions were established. The penalization method plays an important role. We also provided a probabilistic interpretation of the classical solutions of the mean-reflected stochastic partial differential equations (MR-SPDEs) in terms of MR-BDSDEs.

引用

页码：417 / 444

页数：28

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