Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
Probability
2018-05-23 v2 Optimization and Control
Abstract
In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H>1/2. First, the existence and uniqueness of this new type of BSDEs are established using two different approaches. Then, a comparison theorem for such BSDEs is obtained. Finally, as an application of this type of equations, a related stochastic optimal control problem is studied and the related sufficient maximum principle is obtained.
Keywords
Cite
@article{arxiv.1804.10482,
title = {Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem},
author = {Soukaina Douissi and Jiaqiang Wen and Yufeng Shi},
journal= {arXiv preprint arXiv:1804.10482},
year = {2018}
}
Comments
24 pages