Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem

Douissi, Soukaina1; Wen, Jiaqiang2,3,4; Shi, Yufeng5

2019-08-15

10.1016/j.amc.2019.02.072

APPLIED MATHEMATICS AND COMPUTATION   影响因子和分区

0096-3003

1873-5649

In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H> 1/2. First, the existence and uniqueness of this new type of BSDEs are established using two different approaches. Then, a comparison theorem for such BSDEs is obtained. Finally, as an application of this type of equations, a related stochastic optimal control problem is studied. (C) 2019 Elsevier Inc. All rights reserved.

Mean-field backward stochastic differential equation Anticipated backward stochastic differential equation Fractional Brownian motion Stochastic control

SCI ; EI

英语

通讯

111 Project[B12023]

Mathematics

Mathematics, Applied

WOS:000464930500022

ELSEVIER SCIENCE INC

20191206658413

Brownian movement ; Differential equations ; Optimal control systems ; Stochastic systems

Control Systems:731.1 ; Colloid Chemistry:801.3 ; Calculus:921.2

MATHEMATICS

Web of Science

1.Univ Cadi Ayyad, Fac Semlalia, Lab LIBMA, Marrakech, Morocco
2.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China
3.Shandong Univ, Inst Financial Studies, Jinan 250100, Shandong, Peoples R China
4.Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
5.Shandong Univ Finance & Econ, Sch Stat, Jinan 250014, Shandong, Peoples R China

Douissi, Soukaina,Wen, Jiaqiang,Shi, Yufeng. Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem[J]. APPLIED MATHEMATICS AND COMPUTATION,2019,355:282-298.

Douissi, Soukaina,Wen, Jiaqiang,&Shi, Yufeng.(2019).Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem.APPLIED MATHEMATICS AND COMPUTATION,355,282-298.

Douissi, Soukaina,et al."Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem".APPLIED MATHEMATICS AND COMPUTATION 355(2019):282-298.