Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle

DOI10.1155/2014/839467zbMath1474.49053OpenAlexW2036330223WikidataQ59041934 ScholiaQ59041934MaRDI QIDQ1725104

Ying Peng, Yongli Qin, Hui Min

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/839467

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (8)

On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application ⋮ Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs ⋮ \(L^p\)-error estimates for numerical schemes for solving certain kinds of mean-field backward stochastic differential equations ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations ⋮ Nonzero sum differential game of mean-field BSDEs with jumps under partial information ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games ⋮ General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations ⋮ Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games

Cites Work

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