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

DOI10.1007/S10114-021-0002-9MaRDI QIDQ2044792zbMATH OpenOpenAlexWikidataFDO

Authors Jiaqiang Wen, Jie Xiong, Yufeng Shi

Publication date 10 August 2021

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

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

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)

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).

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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
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• scientific article; zbMATH DE number 6613068 (Why is no real title available?)
• A Global Optimality Principle for Fully Coupled Mean-field Control Systems
• Generalized BSDEs driven by fractional Brownian motion
• Solvability of a class of mean-field BSDEs with quadratic growth
• Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion and related partial differential equations

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