Corpus ID: 119176390

Forward and Backward Stochastic Differential Equations with normal constraint in law

@article{Briand2019ForwardAB,
  title={Forward and Backward Stochastic Differential Equations with normal constraint in law},
  author={P. Briand and P. Cardaliaguet and Paul-'Eric Chaudru de Raynal and Y. Hu},
  journal={arXiv: Probability},
  year={2019}
}
  • P. Briand, P. Cardaliaguet, +1 author Y. Hu
  • Published 2019
  • Mathematics
  • arXiv: Probability
  • In 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… CONTINUE READING

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