Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
type: Item
instance of: scholarly article
title: Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations
zbMATH Open document ID: 1498.60272
author: Myong-Guk Sin
author: Kyong-Il Ri
author: Kyong-Hui Kim
published in: Statistics \& Probability Letters
publication date: 2022-09-30T00:00:00Z
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 26A33
zbMATH DE Number: 7595485
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: mean-field forward-backward stochastic differential equations
zbMATH Keywords: method of continuation
Wikidata QID: Q115341049
MaRDI profile type: Publication
full work available at URL: j.spl.2022.109608
OpenAlex ID: W4284969162
cites work: Backward-forward stochastic differential equations
cites work: Backward SDEs driven by Gaussian processes
cites work: Well-posedness of mean-field type forward-backward stochastic differential equations
cites work: A stochastic maximum principle for processes driven by fractional Brownian motion.
cites work: Stochastic Calculus for Fractional Brownian Motion and Applications
cites work: Mean-field backward stochastic differential equations: A limit approach
cites work: Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem
cites work: Mean-field backward stochastic differential equations and related partial differential equations
cites work: Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
cites work: On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
cites work: Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
cites work: Mean-field SDEs with jumps and nonlocal integral-PDEs
cites work: Integral transformations and anticipative calculus for fractional Brownian motions
cites work: Solution of forward-backward stochastic differential equations
cites work: Backward Stochastic Differential Equation Driven by Fractional Brownian Motion
cites work: Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
cites work: Stochastic differential games for fully coupled FBSDEs with jumps
cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme
cites work: Fractional backward stochastic differential equations and fractional backward variational inequalities
cites work: Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
cites work: Adapted solution of a backward stochastic differential equation
cites work: Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
cites work: Anticipative backward stochastic differential equations driven by fractional Brownian motion
cites work: Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
DOI: 10.1016/J.SPL.2022.109608
description: scientific article; zbMATH DE number 7595485