Mean field forward-backward stochastic differential equations
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Publication:743041
DOI10.1214/ECP.V18-2446zbMATH Open1297.93182arXiv1211.4186OpenAlexW2075423166MaRDI QIDQ743041FDOQ743041
Authors: François Delarue, René Carmona 
Publication date: 22 September 2014
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Abstract: The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.
Full work available at URL: https://arxiv.org/abs/1211.4186
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Limit theorems in probability theory (60F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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