Mean-Field and Anticipated BSDEs with Time-Delayed Generator

Pei Zhang, Nur Anisah Mohamed () and Adriana Irawati Nur Ibrahim
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Pei Zhang: Institute of Mathematical Sciences, Faculty of Science, Universiti Malaya, Kuala Lumpur 50603, Malaysia
Nur Anisah Mohamed: Institute of Mathematical Sciences, Faculty of Science, Universiti Malaya, Kuala Lumpur 50603, Malaysia
Adriana Irawati Nur Ibrahim: Institute of Mathematical Sciences, Faculty of Science, Universiti Malaya, Kuala Lumpur 50603, Malaysia

Mathematics, 2023, vol. 11, issue 4, 1-13

Abstract: In this paper, we discuss a new type of mean-field anticipated backward stochastic differential equation with a time-delayed generator (MF-DABSDEs) which extends the results of the anticipated backward stochastic differential equation to the case of mean-field limits, and in which the generator considers not only the present and future times but also the past time. By using the fixed point theorem, we shall demonstrate the existence and uniqueness of the solutions to these equations. Finally, we shall establish a comparison theorem for the solutions.

Keywords: anticipated backward stochastic differential equations; mean-field limits; time-delayed; comparison theorem (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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