Mean field forward-backward stochastic differential equations

被引：65
|
作者：
Carmona, Rene [1 ]
Delarue, Francois [2 ]
机构：
[1] Princeton Univ, Bendheim Ctr Finance, ORFE, Princeton, NJ 08544 USA
[2] Univ Nice Sophia Antipolis, Lab Jean Alexandre Dieudonne, F-06108 Nice 02, France
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2013年 / 18卷
基金：
美国国家科学基金会;
关键词：
FBSDEs; Mean Field Interactions; UNIQUENESS; EXISTENCE;
D O I：
10.1214/ECP.v18-2446
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：1 / 15
页数：15
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