Related papers: Mean Field Forward-Backward Stochastic Differentia…
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions, the existence and uniqueness of solutions for functional…
In this paper, we deal with a class of mean-field backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We obtain the existence and uniqueness theorem and a comparison theorem for…
In this note, we extend some recent results on systems of backward stochastic differential equations (BSDEs) with quadratic growth to the case of coupled forward-backward stochastic differential equations (FBSDEs). We work in a Markovian…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
In this paper we consider a class of {\it conditional McKean-Vlasov SDEs} (CMVSDE for short). Such an SDE can be considered as an extended version of McKean-Vlasov SDEs with common noises, as well as the general version of the so-called…
Fully coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) arise naturally from large population optimization problems. Judging the quality of given numerical solutions for MV-FBSDEs, which usually require…
In this paper, we consider the fully coupled forward-backward stochastic functional differential equations (FBSFDEs) with stochastic functional differential equations as the forward equations and the generalized anticipated backward…
Using purely probabilistic methods, we prove the existence and the uniqueness of solutions fora system of coupled forward-backward stochastic differential equations (FBSDEs) with measurable, possibly discontinuous coefficients. As a…
In this paper, we study multi-species stochastic interacting particle systems and their mean-field McKean-Vlasov partial differential equations (PDEs) in non-convex landscapes. We discuss the well-posedness of the multi-species SDE system,…
The present paper is devoted to the study of mean-field backward stochastic differential equations (MFBSDEs) with double mean reflections whose generators are not Lipschitz continuous. With the help of the Skorokhod problem and some a…
In this paper, we establish the existence and uniqueness of fully coupled forward-backward stochastic differential equations (FBSDEs in short) driven by anomalous sub-diffusions $B_{L_t}$ under suitable monotonicity conditions on the…
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…
In the present paper we discuss a new type of mean-field coupled forward-backward stochastic differential equations (MFFBSDEs). The novelty consists in the fact that the coefficients of both the forward as well as the backward SDEs depend…
The purpose of this paper is to investigate general mean-field backward stochastic differential equations (MFBSDEs) in multi-dimension with diagonally quadratic generators $f(\omega,t,y,z,\mu)$, that is, the coefficients depend not only on…
In this paper, we investigate mean-field backward stochastic differential equation (MFBSDE) with double mean reflections and nonlinear resistance. Specifically, the constraints are formulated in terms of the expectation of the solution, and…
We study some systems of interacting fields whose evolution is given by some singular stochastic partial differential equations of mean field type. We provide a robust setting for their study and prove a well-posedness result and a…
Mean-field SDEs, also known as McKean-Vlasov equations, are stochastic differential equations where the drift and diffusion depend on the current distribution in addition to the current position. We describe an efficient numerical method…
In this paper, we first give the existence and uniqueness theorems for generalized mean-filed delay stochastic differential equations (GMFDSDEs) and mean-field anticipated backward stochastic differential equations (MFABSDEs). Then we study…
This paper establishes H\"{o}lder time regularity of solutions to coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). This is not only of fundamental mathematical interest, but also essential for their…
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control…