Mean field forward-backward stochastic differential equations
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Publication:743041
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.
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- The maximum principle for partially observed optimal control problems of mean-field FBSDEs
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- Well-posedness for a class of mean-field-type forward-backward stochastic differential equations and classical solutions of related master equations
- Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
- MF-OMO: An Optimization Formulation of Mean-Field Games
- Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games
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