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dc.contributor.authorBriand, Philippe
dc.contributor.authorCardaliaguet, Pierre
dc.contributor.authorChaudru de Raynal, Paul-Éric
dc.contributor.authorHu, Ying
dc.date.accessioned2019-03-26T09:57:21Z
dc.date.available2019-03-26T09:57:21Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18575
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.typeDocument de travail / Working paper
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.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages67en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-02053777en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2019-03
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-26T09:52:55Z
hal.person.labIds79
hal.person.labIds60
hal.person.labIds79
hal.person.labIds75


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