Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem

DOI10.1016/J.AMC.2019.02.072MaRDI QIDQ2009377zbMATH OpenOpenAlexFDO

Authors Soukaina Douissi, Jiaqiang Wen, Yufeng Shi

Publication date 28 November 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.10482

zbMATH Keywords

anticipated backward stochastic differential equationfractional Brownian motionmean-field backward stochastic differential equationstochastic control

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Optimal stochastic control (93E20)

Abstract: In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H>1/2. First, the existence and uniqueness of this new type of BSDEs are established using two different approaches. Then, a comparison theorem for such BSDEs is obtained. Finally, as an application of this type of equations, a related stochastic optimal control problem is studied and the related sufficient maximum principle is obtained.

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Cited in

(19)

• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Mean-field backward stochastic differential equations driven by fractional Brownian motion
• Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
• Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
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• Caputo fractional backward stochastic differential equations driven by fractional Brownian motion with delayed generator
• Mixed Nash games and social optima for linear-quadratic forward-backward mean-field systems

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