پیوندهای مفید
آمار
| تعداد نشریات | 21 |
| تعداد شماره‌ها | 620 |
| تعداد مقالات | 9,102 |
| تعداد مشاهده مقاله | 67,340,162 |
| تعداد دریافت فایل اصل مقاله | 7,818,549 |
Mean-field Reflected BSDEs with Infinite Horizon and Applications | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 6، دوره 16، شماره 7، مهر 2025، صفحه 61-69 اصل مقاله (380.76 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2024.32560.4844 | ||
| نویسنده | ||
| Roubi Abdallah* | ||
| Ecole Nationale Sup´erieure d’Informatique (ESI), Oued Smar, 16309 El Harrach, Algiers, Algeria | ||
| تاریخ دریافت: 13 آذر 1402، تاریخ بازنگری: 07 بهمن 1402، تاریخ پذیرش: 13 بهمن 1402 | ||
| چکیده | ||
| We establish the existence and uniqueness of solutions to a mean-field reflected backward stochastic differential equation with an infinite horizon under a Lipschitz condition on the coefficient. As an application, we prove the existence of an optimal strategy for the mean-field mixed stochastic control problem. | ||
| کلیدواژه‌ها | ||
| Reflected BSDEs؛ Mean-field؛ Infinite horizon؛ mixed stochastic control problem؛ Hamiltonian | ||
| مراجع | ||
|
[1] V.E. Benes, Existence of optimal strategies based on specified information, for a class of stochastic decision problems, SIAM J. Control 8 (1970), no. 2, 179–188. [2] R. Buckdahn, B. Djehiche, J. Li, and S. Peng, Mean-field backward stochastic differential equations: A limit approach, Ann. Prob. 37 (2009), no. 4, 1524–1565. [3] B. Djehiche and S. Hamad`ene, Optimal control and zero-sum stochastic differential game problems of mean-field type, Appl. Math. Optim. 81 (2020), no. 3, 933–960. [4] N. El Karoui, C. Kapoudjian, E. Pardoux, S. Peng, and M.C. Quenez, Reflected solutions of backward SDE’s, and related obstacle problems for PDE’s, Ann. Prob. 25 (1997), no. 2, 702–737. [5] S. Hamadene and J.P. Lepeltier, Backward equations, stochastic control and zero-sum stochastic differential games, Stochastics: Int. J. Prob. Stoch. Proces. 54 (1995), no. 3-4, 221–231. [6] S. Hamadene and J.P. Lepeltier, Zero-sum stochastic differential games and backward equations, Syst. Control Lett. 24 (1995), no. 4, 259–263. [7] S. Hamad`ene and J.P. Lepeltier, Reflected BSDEs and mixed game problem, Stoch. Proces. Appl. 85 (2000), no. 2, 177–188. [8] S. Hamad`ene, J.P. Lepeltier, and Z. Wu, Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems, Prob. Math. Statist. Wroclaw Univ. 19 (1999), no. 2, 211–234. [9] I. Karatzas and S. Shreve, Brownian Motion and Stochastic Calculus, Springer Science & Business Media. (Vol. 113), 2012. [10] Z. Li and J. Luo, Mean-field reflected backward stochastic differential equations, Statist. Prob. Lett. 82 (2012), no. 11, 1961–1968. [11] D. Revuz and M. Yor, Continuous Martingales and Brownian Motion, Springer Science & Business Media. (Vol. 293), 2013. [12] A. Roubi and M.A. Mezerdi, Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon, Random Oper. Stoch. Equ. 30 (2022), no. 3, 183–195. | ||
|
آمار تعداد مشاهده مقاله: 102 تعداد دریافت فایل اصل مقاله: 141 |
||