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arXiv · 1804.10482

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

Soukaina Douissi·Jiaqiang Wen·Yufeng Shi
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Abstract

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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Soukaina Douissi, Jiaqiang Wen, Yufeng Shi. 2018-04-27. Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem. https://arxiv.org/abs/1804.10482

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