Meanfield SDEs and associated PDEs

Résumé

We study a stochastic differential equation (SDE) of mean-field type, i.e., an SDE driven by a Brownian motion, which coefficients depend on the solution process of the SDE but also on its probability. We derive a non local PDE which unique solution is described with the help of the mean-field SDE. (common work with Rainer Buckdahn, Li Juan and Shige Peng)