Mean-field backward stochastic differential equations and applications

DOI10.1016/J.SYSCONLE.2022.105196zbMATH Open1490.60138arXiv1801.03349OpenAlexW2783316388WikidataQ115340905 ScholiaQ115340905MaRDI QIDQ2124504FDOQ2124504

B. Øksendal, Yaozhong Hu, N. Agram

Publication date: 11 April 2022

Published in: Systems \& Control Letters (Search for Journal in Brave)

Abstract: In this paper we study the mean-field backward stochastic differential equations (mean-field bsde) of the form dY(t) =-f(t,Y(t),Z(t),K(t, . ),E[varphi(Y(t),Z(t),K(t,.))])dt+Z(t)dB(t) +int_{R_{0}}K(t,zeta) ilde{N}(dt,dzeta), where B is a Brownian motion, ilde{N} is the compensated Poisson random measure. Under some mild conditions, we prove the existence and uniqueness of the solution triplet (Y,Z,K). It is commonly believed that there is no comparison theorem for general mean-field bsde. However, we prove a comparison theorem for a subclass of these equations. When the mean-field bsde is linear, we give an explicit formula for the first component Y(t) of the solution triplet. Our results are applied to solve a mean-field recursive utility optimization problem in finance.

Full work available at URL: https://arxiv.org/abs/1801.03349

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zbMATH Keywords

existence and uniquenessexplicit solutionmean-field backward stochastic differential equationslinear mean-field BSDEmean-field recursive utility problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Mean field games and control (49N80)

Cites Work

• The Malliavin Calculus and Related Topics
• Stochastic Differential Utility
• An Introductory Approach to Duality in Optimal Stochastic Control
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Mean-field backward stochastic differential equations: A limit approach
• Controlled mean-field backward stochastic differential equations with jumps involving the value function
• Analysis on Gaussian spaces

Cited In (10)

• Stochastic optimal control of McKean-Vlasov equations with anticipating law
• Mean-field-type games with jump and regime switching
• Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
• Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls
• Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control
• On Z-mean reflected BSDEs
• Weighted bounded mean oscillation applied to backward stochastic differential equations
• Mean-field BSDEs with jumps and dual representation for global risk measures
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• Mean-field reflected backward stochastic differential equations

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