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- Shandong UniversityCN4 papers
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- Laboratoire de Mathématiques Blaise PascalFR2 papers
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- Aalborg UniversityDK1 paper
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- Laboratoire de Mathématiques Jean LerayFR1 paper
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4 papers · 1 filter
Mean-Field Backward Stochastic Differential Equations and Related Partial Differential Equations
Rainer Buckdahn, Juan Li, Shige Peng
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as lim…
Mean-field backward stochastic differential equations: A limit approach
Rainer Buckdahn, Boualem Djehiche, Juan Li +1
Mathematical mean-field approaches play an important role in different fields of Physics and Chemistry, but have found in recent works also their application in Economics, Finance…
Stochastic Differential Games with Reflection and Related Obstacle Problems for Isaacs Equations
Rainer Buckdahn, Juan Li
In this paper we first investigate zero-sum two-player stochastic differential games with reflection with the help of theory of Reflected Backward Stochastic Differential Equations…
Stochastic control problems for systems driven by normal martingales
Rainer Buckdahn, Jin Ma, Catherine Rainer
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems…