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

DOI10.1016/j.amc.2019.02.072zbMath1428.60075arXiv1804.10482OpenAlexW2964251538MaRDI QIDQ2009377

Soukaina Douissi, Jiaqiang Wen, Yu-feng 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

fractional Brownian motionstochastic controlanticipated backward stochastic differential equationmean-field backward stochastic differential equation

Mathematics Subject Classification ID

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

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