Mean-field forward and backward SDEs with jumps. Associated nonlocal quasi-linear integral-PDEs
Abstract
In this paper we consider a mean-field backward stochastic differential equation (BSDE) driven by a Brownian motion and an independent Poisson random measure. Translating the splitting method introduced by Buckdahn, Li, Peng and Rainer [6] to BSDEs, the existence and the uniqueness of the solution (Yt,, Zt,, Ht,), (Yt,x,P, Zt,x,P, Ht,x,P) of the split equations are proved. The first and the second order derivatives of the process (Yt,x,P, Zt,x,P, Ht,x,P) with respect to x, the derivative of the process (Yt,x,P, Zt,x,P, Ht,x,P) with respect to the measure P, and the derivative of the process (∂μ Yt,x,P(y), ∂μ Zt,x,P(y), ∂μ Ht,x,P(y)) with respect to y are studied under appropriate regularity assumptions on the coefficients, respectively. These derivatives turn out to be bounded and continuous in L2. The proof of the continuity of the second order derivatives is particularly involved and requires subtle estimates. This regularity ensures that the value function V(t,x,P):=Ytt,x,P is regular and allows to show with the help of a new It\o formula that it is the unique classical solution of the related nonlocal quasi-linear integral-partial differential equation (PDE) of mean-field type.
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