Electronic Communications in Probability
- Electron. Commun. Probab.
- Volume 18 (2013), paper no. 68, 15 pp.
Mean field forward-backward stochastic differential equations
René Carmona and François Delarue
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.
Article information
Source
Electron. Commun. Probab., Volume 18 (2013), paper no. 68, 15 pp.
Dates
Accepted: 7 August 2013
First available in Project Euclid: 7 June 2016
Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465315607
Digital Object Identifier
doi:10.1214/ECP.v18-2446
Mathematical Reviews number (MathSciNet)
MR3091726
Zentralblatt MATH identifier
1297.93182
Subjects
Primary: 93E20: Optimal stochastic control 60H30: Applications of stochastic analysis (to PDE, etc.)
Secondary: 60H10: Stochastic ordinary differential equations [See also 34F05] 60F99: None of the above, but in this section
Keywords
FBSDEs Mean Field Interactions
Rights
This work is licensed under a Creative Commons Attribution 3.0 License.
Citation
Carmona, René; Delarue, François. Mean field forward-backward stochastic differential equations. Electron. Commun. Probab. 18 (2013), paper no. 68, 15 pp. doi:10.1214/ECP.v18-2446. https://projecteuclid.org/euclid.ecp/1465315607