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5 papers · 2 filters
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…
Anticipated backward stochastic differential equations
Shige Peng, Zhe Yang
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the genera…
Law of Large Numbers and Central Limit Theorem under Nonlinear Expectations
Shige Peng
The law of large numbers (LLN) and central limit theorem (CLT) are long and widely been known as two fundamental results in probability theory. Recently problems of model uncertain…