Research-Forward and Backward Stochastic Differential Equations with Normal Constraints in Law and Mean Field Limit of Related Interacting Particle Systems

Research

Probability & Statistics Seminar

Forward and Backward Stochastic Differential Equations with Normal Constraints in Law and Mean Field Limit of Related Interacting Particle Systems

Speaker: Ying Hu (University of Rennes 1)
Time: Feb 24, 2022, 16:00-17:00
Location: Zoom ID 965 6298 9314, Passcode 123456

Abstract

In this talk 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 particles system reflected in mean field and asymptotically described by such equations. 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.