Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
Probability
2020-03-03 v2
Abstract
We study a general class of fully coupled backward-forward stochastic differential equations of mean-field type (MF-BFSDE). We derive existence and uniqueness results for such a system under weak monotonicity assumptions and without the non-degeneracy condition on the forward equation. This is achieved by suggesting an implicit approximation scheme that is shown to converge to the solution of the system of MF-BFSDE. We apply these results to derive an explicit form of open-loop Nash equilibrium strategies for nonzero sum mean-field linear-quadratic stochastic differential games with random coefficients. These strategies are valid for any time horizon of the game.
Cite
@article{arxiv.1904.06193,
title = {Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games},
author = {Yinggu Chen and Boualem Djehiche and Said Hamadene},
journal= {arXiv preprint arXiv:1904.06193},
year = {2020}
}
Comments
22 pages