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Backward multivalued McKean-Vlasov SDEs and associated variational inequalities (2110.11484v3)

Published 21 Oct 2021 in math.PR

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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