Mean-field backward stochastic differential equations: A limit approach

DOI10.1214/08-AOP442MaRDI QIDQ838008zbMATH OpenFDO

Authors Rainer Buckdahn, Boualem Djehiche, Juan Li, Shige Peng

Publication date 21 August 2009

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.2162

zbMATH Keywords

weak convergencebackward stochastic differential equationtightnessmean-field approachmckean-vlasov equationmean-field BSDE

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Mathematical mean-field approaches play an important role in different fields of Physics and Chemistry, but have found in recent works also their application in Economics, Finance and Game Theory. The objective of our paper is to investigate a special mean-field problem in a purely stochastic approach: for the solution $(Y,Z)$ of a mean-field backward stochastic differential equation driven by a forward stochastic differential of McKean--Vlasov type with solution $X$ we study a special approximation by the solution $(X^N,Y^N,Z^N)$ of some decoupled forward--backward equation which coefficients are governed by $N$ independent copies of $(X^N,Y^N,Z^N)$. We show that the convergence speed of this approximation is of order $1/sqrtN$. Moreover, our special choice of the approximation allows to characterize the limit behavior of $sqrtN(X^N-X,Y^N-Y,Z^N-Z)$. We prove that this triplet converges in law to the solution of some forward--backward stochastic differential equation of mean-field type, which is not only governed by a Brownian motion but also by an independent Gaussian field.

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Cited in

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