Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem

Soukaina Douissi, Jiaqiang Wen and Yufeng Shi

Applied Mathematics and Computation, 2019, vol. 355, issue C, 282-298

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.

Keywords: Mean-field backward stochastic differential equation; Anticipated backward stochastic differential equation; Fractional Brownian motion; Stochastic control (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:355:y:2019:i:c:p:282-298

DOI: 10.1016/j.amc.2019.02.072

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