Mean field forward-backward stochastic differential equations

René Carmona, François Delarue

Type: Article

Publication Date: 2013-01-01

Citations: 108

DOI: https://doi.org/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.

Locations

arXiv (Cornell University) - View - PDF
CiteSeer X (The Pennsylvania State University) - View - PDF
HAL (Le Centre pour la Communication Scientifique Directe) - View - PDF
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Electronic Communications in Probability - View - PDF

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Action	Title	Year	Authors
+	Partial Differential Equations of Parabolic Type	1964	Avner Friedman
+ PDF Chat	Linear-Quadratic Mean Field Games	2015	Alain Bensoussan K. C. J. Sung Sheung Chi Phillip Yam Siu Pang Yung
+	Topics in propagation of chaos	1991	Alain‐Sol Sznitman
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+	On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case	2002	François Delarue
+ PDF Chat	Control of McKean–Vlasov dynamics versus mean field games	2012	René Carmona François Delarue Aimé Lachapelle
+ PDF Chat	Jeux à champ moyen. II – Horizon fini et contrôle optimal	2006	Jean‐Michel Lasry Pierre‐Louis Lions
+	Weak existence and uniqueness for forward–backward SDEs	2006	François Delarue Giuseppina Guatteri
+	Nonlinear SDEs driven by Lévy processes and related PDEs	2007	Benjamin Jourdain Sylvie Méléard Wojbor A. Woyczyński
+	Partial differential equations of parabolic type	1965	John S. Maybee