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RBDSDEs with jumps and optional Barrier and mean field game with common noise
Ibn Tofail Univ, Morocco.
Ibn Tofail Univ, Morocco.
Linnaeus University, Faculty of Technology, Department of Mathematics.ORCID iD: 0000-0002-5362-6475
Sultan Moulay Slimane Univ, Morocco.
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2023 (English)In: Stochastics: An International Journal of Probablitiy and Stochastic Processes, ISSN 1744-2508, E-ISSN 1744-2516, Vol. 95, no 4, p. 615-634Article in journal (Refereed) Published
Sustainable development
SDG 7: Ensure access to affordable, reliable, sustainable and modern energy for all, SDG 12: Ensure sustainable consumption and production patterns, SDG 13: Take urgent action to combat climate change and its impacts by regulating emissions and promoting developments in renewable energy
Abstract [en]

In this paper, we study a generalization of reflected backward doubly stochastic differential equations (RBDSDEs) and present a link to a general mean field game. In our case, the RBDSDEs are associated with a lower optional not right continuous barrier. First, we establish the existence and uniqueness of a solution of such RBDSDEs. We then study a mean field game with a new type of common noise related to an electricity grid with storage allowing jumps and prove the existence of a mean field Nash equilibrium.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2023. Vol. 95, no 4, p. 615-634
Keywords [en]
Reflected backward doubly stochastic differential equations, mertens decomposition, strong optional supermartingale, mean field game, common noise mean field nash equilibrium
National Category
Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-116444DOI: 10.1080/17442508.2022.2113080ISI: 000847766300001Scopus ID: 2-s2.0-85137012060OAI: oai:DiVA.org:lnu-116444DiVA, id: diva2:1697404
Available from: 2022-09-20 Created: 2022-09-20 Last updated: 2025-08-13Bibliographically approved

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Hilbert, AstridPettersson, Roger

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CiteExportLink to record
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  • Other style
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  • de-DE
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