Mean-field backward stochastic differential equations driven by fractional Brownian motion

DOI10.1007/S10114-021-0002-9zbMATH Open1470.60164arXiv1606.02014OpenAlexW3185400217WikidataQ115385189 ScholiaQ115385189MaRDI QIDQ2044792FDOQ2044792

Authors: Jiaqiang Wen, Jie Xiong, Yufeng Shi 

Publication date: 10 August 2021

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Abstract: In this paper, we focus on the mean-field backward stochastic differential equations (BSDEs) driven by a fractional Brownian motion with Hurst parameter H greater then 1/2. First, the existence and uniqueness of these equations are established under Lipschitz condition. Then, a comparison theorem for such mean-field BSDEs is obtained. Finally, as an application, we connect this mean-field BSDE with a nonlocal partial differential equation (PDE).

Full work available at URL: https://arxiv.org/abs/1606.02014

Recommendations

• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
• Generalized BSDEs driven by fractional Brownian motion
• Anticipative backward stochastic differential equations driven by fractional Brownian motion
• Some results on backward stochastic differential equations driven by fractional Brownian motions
• Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion and related partial differential equations

zbMATH Keywords

fractional Brownian motionpartial 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) Stochastic integral equations (60H20)

Cites Work

• The Malliavin Calculus and Related Topics
• Mean field games
• Title not available (Why is that?)
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Mean-field backward stochastic differential equations and related partial differential equations
• Stochastic analysis of the fractional Brownian motion
• Integral transformations and anticipative calculus for fractional Brownian motions
• Mean-field stochastic differential equations and associated PDEs
• Mean-field backward stochastic differential equations: A limit approach
• Generalized BSDEs driven by fractional Brownian motion
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Backward stochastic differential equation driven by fractional Brownian motion
• Maximum principle for general controlled systems driven by fractional Brownian motions
• On Stratonovich and Skorohod stochastic calculus for Gaussian processes
• Anticipated backward stochastic differential equations with quadratic growth
• Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)
• Some results on backward stochastic differential equations driven by fractional Brownian motions
• Anticipative backward stochastic differential equations driven by fractional Brownian motion
• Backward SDEs driven by Gaussian processes
• Maximum principle for a stochastic delayed system involving terminal state constraints
• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
• BSDEs with mean reflection
• Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
• Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
• Backward doubly stochastic Volterra integral equations and their applications
• Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem

Cited In (11)

• Some results on backward stochastic differential equations driven by fractional Brownian motions
• A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
• BSDEs generated by fractional space-time noise and related SPDEs
• Stochastic maximum principle for weighted mean-field system
• Fractional backward doubly stochastic differential equations with jumps and the related SIPDEs
• Title not available (Why is that?)
• A Global Optimality Principle for Fully Coupled Mean-field Control Systems
• Generalized BSDEs driven by fractional Brownian motion
• Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion and related partial differential equations
• Solvability of a class of mean-field BSDEs with quadratic growth

This page was built for publication: Mean-field backward stochastic differential equations driven by fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2044792)