Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations

Myong-Guk Sin, Kyong-Il Ri and Kyong-Hui Kim

Statistics & Probability Letters, 2022, vol. 190, issue C

Abstract: We study a coupled fractional mean-field forward–backward stochastic differential equation (MF-FBSDE), in which the coefficients involved could also depend upon the distribution of the solution (X, Y), and which contains a special structure η. We prove the existence and uniqueness of a solution of the fractional MF-FBSDE by using the method of continuation.

Keywords: Fractional Brownian motion; Mean-field forward–backward stochastic differential equations; Method of continuation (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109608

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