Backward multivalued McKean-Vlasov SDEs and associated variational inequalities

2021/10/21 by Gong, Jun, Qiao, Huijie
#60H10 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2110.11484

Abstract

The work concerns a type of backward multivalued McKean-Vlasov stochastic differential equations. First, we prove the existence and uniqueness of solutions for backward multivalued McKean-Vlasov stochastic differential equations. Then, it is presented that their solutions depend continuously on the terminal values. Finally, we give a probabilistic interpretation for viscosity solutions of nonlocal quasi-linear parabolic variational inequalities.

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