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


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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René Carmona. François Delarue. "Mean field forward-backward stochastic differential equations." Electron. Commun. Probab. 18 1 - 15, 2013.


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

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

Keywords: FBSDEs , Mean Field Interactions

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