Electronic Communications in Probability

Mean field forward-backward stochastic differential equations

René Carmona and François Delarue

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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

Electron. Commun. Probab., Volume 18 (2013), paper no. 68, 15 pp.

Accepted: 7 August 2013
First available in Project Euclid: 7 June 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

FBSDEs Mean Field Interactions

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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

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