Mean-field backward stochastic Volterra integral equations

DOI10.3934/DCDSB.2013.18.1929zbMATH Open1277.60111arXiv1104.4725OpenAlexW2963997268MaRDI QIDQ379033FDOQ379033

Authors: Yufeng Shi, Tianxiao Wang, Jiongmin Yong 

Publication date: 12 November 2013

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Abstract: Mean-field backward stochastic Volterra integral equations (MF-BSVIEs, for short) are introduced and studied. Well-posedness of MF-BSVIEs in the sense of introduced adapted M-solutions is established. Two duality principles between linear mean-field (forward) stochastic Volterra integral equations (MF-FSVIEs, for short) and MF-BSVIEs are obtained. As applications, a multi-dimensional comparison theorem is proved for adapted M-solutions of MF-BSVIEs and a maximum principle is established for an optimal control of MF-FSVIEs.

Full work available at URL: https://arxiv.org/abs/1104.4725

Recommendations

• scientific article
• Backward stochastic Volterra integral equations and some related problems
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Mean-field backward doubly stochastic differential equation and its applications
• Well-posedness and regularity of backward stochastic Volterra integral equations

zbMATH Keywords

maximum principleduality principlemean-field backward stochastic Volterra integral equationmean-field stochastic Volterra integral equation

Mathematics Subject Classification ID

Vlasov equations (35Q83) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Cited In (27)

• Mean-field reflected backward stochastic differential equations
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• Variation of constants formulae for forward and backward stochastic Volterra integral equations
• Malliavin calculus and optimal control of stochastic Volterra equations
• Well-posedness and regularity of backward stochastic Volterra integral equations
• Linear quadratic control problems of stochastic Volterra integral equations
• Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures
• Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
• Title not available (Why is that?)
• Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
• Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Malliavin method for optimal investment in financial markets with memory
• Infinite horizon backward stochastic Volterra integral equations and discounted control problems
• A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
• Backward stochastic Volterra integral equations and some related problems
• Mean-field backward stochastic differential equations with subdifferential operator and its applications
• Backward doubly stochastic Volterra integral equations and their applications
• Backward stochastic Volterra integro-differential equations and applications in optimal control problems
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• Mean-field backward doubly stochastic Volterra integral equations and their applications
• Linear quadratic stochastic integral games and related topics
• Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula
• Harnack inequality for mean-field stochastic differential equations
• Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators
• Optimal control problems of forward-backward stochastic Volterra integral equations
• Exact controllability of linear stochastic differential equations and related problems

This page was built for publication: Mean-field backward stochastic Volterra integral equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q379033)