Mean-field backward stochastic differential equations driven by fractional Brownian motion

Jiaqiang Wen; Yufeng Shi

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arXiv · 1606.02014

Mean-field backward stochastic differential equations driven by fractional Brownian motion

Jiaqiang Wen·Yufeng Shi

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Abstract

In this paper, we focus on the mean-field backward stochastic differential equations (BSDEs) driven by a fractional Brownian motion with Hurst parameter H greater then 1/2. First, the existence and uniqueness of these equations are established under Lipschitz condition. Then, a comparison theorem for such mean-field BSDEs is obtained. Finally, as an application, we connect this mean-field BSDE with a nonlocal partial differential equation (PDE).

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Jiaqiang Wen, Yufeng Shi. 2016-06-07. Mean-field backward stochastic differential equations driven by fractional Brownian motion. https://arxiv.org/abs/1606.02014

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