Mean-field type quadratic BSDEs

DOI10.3934/NACO.2022009zbMATH Open1515.60191arXiv1708.08784OpenAlexW2753368163MaRDI QIDQ6164085FDOQ6164085

Authors: Hélène Hibon, Ying Hu, Shanjian Tang 

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Abstract: In this paper, we give several new results on solvability of a quadratic BSDE whose generator depends also on the mean of both variables. First, we consider such a BSDE using John-Nirenberg's inequality for BMO martingales to estimate its contribution to the evolution of the first unknown variable. Then we consider the BSDE having an additive expected value of a quadratic generator in addition to the usual quadratic one. In this case, we use a deterministic shift transformation to the first unknown variable, when the usual quadratic generator depends neither on the first variable nor its mean, the general case can be treated by a fixed point argument.

Full work available at URL: https://arxiv.org/abs/1708.08784

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zbMATH Keywords

backward stochastic differential equationquadratic growthmean-field type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Conjugate convex functions in optimal stochastic control
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• Mean-field backward stochastic differential equations and related partial differential equations
• Well-posedness of mean-field type forward-backward stochastic differential equations
• Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
• BSE's, BSDE's and fixed-point problems

Cited In (8)

• Numerical simulation of quadratic BSDEs
• Mean field portfolio games
• General mean-field BSDEs with diagonally quadratic generator in multi-dimension
• Quadratic BSDEs with mean reflection
• General mean reflected backward stochastic differential equations
• Anticipated backward stochastic differential equations with quadratic growth
• A Bismut-Elworthy formula for quadratic BSDEs
• Solvability of a class of mean-field BSDEs with quadratic growth

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