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
fractional Brownian motionstochastic controlanticipated backward stochastic differential equationmean-field backward stochastic differential equation
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integral equations (60H20)
Related Items (14)
Cites Work
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