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2013 Mean field forward-backward stochastic differential equations
René Carmona, François Delarue
Author Affiliations +
Electron. Commun. Probab. 18: 1-15 (2013). DOI: 10.1214/ECP.v18-2446

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.

Citation

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René Carmona. François Delarue. "Mean field forward-backward stochastic differential equations." Electron. Commun. Probab. 18 1 - 15, 2013. https://doi.org/10.1214/ECP.v18-2446

Information

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

zbMATH: 1297.93182
MathSciNet: MR3091726
Digital Object Identifier: 10.1214/ECP.v18-2446

Subjects:
Primary: 60H30, 93E20
Secondary: 60F99, 60H10

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