Mean-field backward stochastic differential equations and applications
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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.
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Cites work
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Cited in
(20)- Optimal strategy of mean-field FBSDE games with delay and noisy memory based on Malliavin calculus
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
- Stochastic optimal control of McKean-Vlasov equations with anticipating law
- The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
- Mean-field backward stochastic differential equations: A limit approach
- Mean-field-type games with jump and regime switching
- Finite-time annular domain \(H_2 /H_{\infty}\) filtering for mean-field stochastic systems with Wiener and Poisson noises
- 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
- Well-posedness and comparison theorems of coupled mean-field forward-backward stochastic differential equations
- Mean-field backward doubly stochastic differential equation and its applications
- On Z-mean reflected BSDEs
- Weighted bounded mean oscillation applied to backward stochastic differential equations
- Singular mean-field backward stochastic Volterra integral equations in infinite dimensional spaces
- Mean-field BSDEs with jumps and dual representation for global risk measures
- Mean-field BSDEs with weak monotonicity and general growth generators
- Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
- Mean-field reflected backward stochastic differential equations
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