Mean field forward-backward stochastic differential equations

René Carmona; François Delarue

doi:10.1214/ecp.v18-2446

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Mean field forward-backward stochastic differential equations

René Carmona François Delarue

Year: 2013 Journal: Electronic Communications in Probability Vol: 18 (none) Publisher: Institute of Mathematical Statistics

DOI: 10.1214/ecp.v18-2446

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Abstract

The purpose of this note is to provide an existence result for the solution of fully\ncoupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field\ntype. These equations occur in the study of mean field games and the optimal control of\ndynamics of the McKean Vlasov type.

Keywords:

Mathematics Stochastic differential equation Mean field theory Type (biology) Applied mathematics Differential equation Field (mathematics) Stochastic partial differential equation Mathematical analysis Pure mathematics Physics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Mean field forward-backward stochastic differential equations

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