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Mean field forward-backward stochastic differential equations


 
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1. Title Title of document Mean field forward-backward stochastic differential equations
 
2. Creator Author's name, affiliation, country René Carmona; Princeton University; United States
 
2. Creator Author's name, affiliation, country François Delarue; Université de Nice Sophia-Antipolis; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) FBSDEs, Mean Field Interactions
 
3. Subject Subject classification Primary: 93E20, 60H30; Secondary: 60H10, 60F99
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF
 
7. Date (YYYY-MM-DD) 2013-08-07
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2446
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2446
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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