Mean field forward-backward stochastic differential equations

Rene A. Carmona; Francois Delarue

doi:10.1214/ECP.v18-2446

Mean field forward-backward stochastic differential equations

Rene A. Carmona, Francois Delarue

Research output: Contribution to journal › Article › peer-review

75 Scopus citations

Abstract

THE purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.

Original language	English (US)
Journal	Electronic Communications in Probability
Volume	18
DOIs	https://doi.org/10.1214/ECP.v18-2446
State	Published - 2013

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

Keywords

FBSDEs
Mean field interactions

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10.1214/ECP.v18-2446

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title = "Mean field forward-backward stochastic differential equations",

abstract = "THE purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.",

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author = "Carmona, {Rene A.} and Francois Delarue",

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language = "English (US)",

volume = "18",

journal = "Electronic Communications in Probability",

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T1 - Mean field forward-backward stochastic differential equations

AU - Carmona, Rene A.

AU - Delarue, Francois

PY - 2013

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N2 - THE purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.

AB - THE purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.

KW - FBSDEs

KW - Mean field interactions

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DO - 10.1214/ECP.v18-2446

M3 - Article

AN - SCOPUS:84881285990

SN - 1083-589X

VL - 18

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

ER -

Mean field forward-backward stochastic differential equations

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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