Mean-Field Backward Stochastic Volterra Integral Equations
نویسندگان
چکیده
Mean-field backward stochastic Volterra integral equations (MF-BSVIEs, for short) are introduced and studied. Well-posedness of MF-BSVIEs in the sense of introduced adapted Msolutions is established. Two duality principles between linear mean-field (forward) stochastic Volterra integral equations (MF-FSVIEs, for short) and MF-BSVIEs are obtained. Several comparison theorems for MF-FSVIEs and MF-BSVIEs are proved. A Pontryagin’s type maximum principle is established for an optimal control of MF-FSVIEs.
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ورودعنوان ژورنال:
- CoRR
دوره abs/1104.4725 شماره
صفحات -
تاریخ انتشار 2011