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arxiv: 1804.10482 · v2 · pith:FHLIGDDBnew · submitted 2018-04-27 · 🧮 math.PR · math.OC

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

classification 🧮 math.PR math.OC
keywords bsdesrelatedstochasticanticipatedbrowniancontroldrivenequations
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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 and the related sufficient maximum principle is obtained.

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