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hal.structure.identifierLaboratoire de Mathématiques [LAMA]
dc.contributor.authorBriand, Philippe
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorCardaliaguet, Pierre
hal.structure.identifierLaboratoire de Mathématiques [LAMA]
dc.contributor.authorChaudru de Raynal, Paul-Eric
hal.structure.identifierInstitut de Recherche Mathématique de Rennes [IRMAR]
dc.contributor.authorHu, Ying
dc.date.accessioned2021-11-24T09:33:04Z
dc.date.available2021-11-24T09:33:04Z
dc.date.issued2020
dc.identifier.issn0304-4149
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22228
dc.language.isoenen
dc.subjectstochastic differential equationsen
dc.subjectWasserstein spaceen
dc.subject.ddc519en
dc.titleForward and Backward Stochastic Differential Equations with normal constraint in lawen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding “normal” vector. We also study the associated interacting particle system reflected in mean field and asymptotically described by such equations. The case of particles submitted to a common noise as well as the asymptotic system is studied in the forward case. Eventually, we connect the forward and backward stochastic differential equations with normal constraints in law with partial differential equations stated on the Wasserstein space and involving a Neumann condition in the forward case and an obstacle in the backward one.en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol130en
dc.relation.isversionofjnlissue12en
dc.relation.isversionofjnldate2020-12
dc.relation.isversionofjnlpages7021-7097en
dc.relation.isversionofdoi10.1016/j.spa.2020.07.007en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2021-11-24T09:28:50Z
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