Fully Coupled Mean-Field Forward-Backward Stochastic Differential Equations and Stochastic Maximum Principle
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-13
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
We discuss a new type of fully coupled forward-backward stochastic differential equations (FBSDEs) whose coefficients depend on the states of the solution processes as well as their expected values, and we call them fully coupled mean-field forward-backward stochastic differential equations (mean-field FBSDEs).
We first prove the existence and the uniqueness theorem of such mean-field FBSDEs under some certain monotonicity conditions and show the continuity property of the solutions with respect to the parameters.
Then we discuss the stochastic optimal control problems of mean-field FBSDEs.
The stochastic maximum principles are derived and the related mean-field linear quadratic optimal control problems are also discussed.
American Psychological Association (APA)
Min, Hui& Peng, Ying& Qin, Yongli. 2014. Fully Coupled Mean-Field Forward-Backward Stochastic Differential Equations and Stochastic Maximum Principle. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-15.
https://search.emarefa.net/detail/BIM-1014883
Modern Language Association (MLA)
Min, Hui…[et al.]. Fully Coupled Mean-Field Forward-Backward Stochastic Differential Equations and Stochastic Maximum Principle. Abstract and Applied Analysis No. 2014 (2014), pp.1-15.
https://search.emarefa.net/detail/BIM-1014883
American Medical Association (AMA)
Min, Hui& Peng, Ying& Qin, Yongli. Fully Coupled Mean-Field Forward-Backward Stochastic Differential Equations and Stochastic Maximum Principle. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-15.
https://search.emarefa.net/detail/BIM-1014883
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1014883