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Mean field forward-backward stochastic differential equations

Author(s): Carmon, Rene; Delarue, F

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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.
Publication Date: 14-Aug-2013
Citation: Carmon, R, Delarue, F. (2013). Mean field forward-backward stochastic differential equations. Electronic Communications in Probability, 18 (10.1214/ECP.v18-2446
DOI: doi:10.1214/ECP.v18-2446
EISSN: 1083-589X
Type of Material: Journal Article
Journal/Proceeding Title: Electronic Communications in Probability
Version: Author's manuscript

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