Mean Field Forward-Backward Stochastic Differential Equations
نویسنده
چکیده
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.
منابع مشابه
N ov 2 00 7 Mean - Field Backward Stochastic Differential Equations and Related Partial Differential Equations ∗
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as limit of some highly dimensional system of forward and backward SDEs, corresponding to a large number of “particles” (or “agents”). The objective of the present paper is to deepen the investigation of such Mean-Field BSD...
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