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

[1]  Juan Li,et al.  Mean-field backward stochastic differential equations: A limit approach , 2007, 0711.2162.

[2]  P. Lions,et al.  Mean field games , 2007 .

[3]  Juan Li,et al.  Stochastic Differential Games and Viscosity Solutions of Hamilton--Jacobi--Bellman--Isaacs Equations , 2007, SIAM J. Control. Optim..

[4]  Etienne Pardoux,et al.  Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient , 2002 .

[5]  K. Bahlali Backward stochastic differential equations with locally Lipschitz coefficient , 2001 .

[6]  G. Barles,et al.  Backward stochastic differential equations and integral-partial differential equations , 1997 .

[7]  S. Peng,et al.  Backward Stochastic Differential Equations in Finance , 1997 .

[8]  F. Hollander,et al.  McKean-Vlasov limit for interacting random processes in random media , 1996 .

[9]  P. Kotelenez A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation , 1995 .

[10]  D. Nualart The Malliavin Calculus and Related Topics , 1995 .

[11]  P. Lions,et al.  User’s guide to viscosity solutions of second order partial differential equations , 1992, math/9207212.

[12]  S. Peng,et al.  Adapted solution of a backward stochastic differential equation , 1990 .

[13]  A. Sznitman Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated , 1984 .

[14]  L. Rogers Stochastic differential equations and diffusion processes: Nobuyuki Ikeda and Shinzo Watanabe North-Holland, Amsterdam, 1981, xiv + 464 pages, Dfl.175.00 , 1982 .

[15]  Xiongzhi Chen Brownian Motion and Stochastic Calculus , 2008 .

[16]  Mireille Bossy,et al.  SOME STOCHASTIC PARTICLE METHODS FOR NONLINEAR PARABOLIC PDES , 2005 .

[17]  Denis Talay,et al.  A STOCHASTIC PARTICLE METHOD WITH RANDOM WEIGHTS FOR THE COMPUTATION OF STATISTICAL SOLUTIONS OF MCKEAN-VLASOV EQUATIONS , 2001 .

[18]  Mireille Bossy,et al.  A stochastic particle method for the McKean-Vlasov and the Burgers equation , 1997, Math. Comput..

[19]  S. Méléard Asymptotic behaviour of some interacting particle systems; McKean-Vlasov and Boltzmann models , 1996 .

[20]  T. Chan,et al.  Dynamics of the McKean-Vlasov equation , 1994 .

[21]  池田 信行,et al.  Stochastic differential equations and diffusion processes , 1981 .