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Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations
Statistics & Probability Letters ( IF 0.9 ) Pub Date : 2022-07-08 , DOI: 10.1016/j.spl.2022.109608
Myong-Guk Sin , Kyong-Il Ri , Kyong-Hui Kim

We study a coupled fractional mean-field forward–backward stochastic differential equation (MF-FBSDE), in which the coefficients involved could also depend upon the distribution of the solution (X, Y), and which contains a special structure η. We prove the existence and uniqueness of a solution of the fractional MF-FBSDE by using the method of continuation.



中文翻译:

耦合分数平均场正反向随机微分方程解的存在唯一性

我们研究了一个耦合分数平均场正反向随机微分方程 (MF-FBSDE),其中所涉及的系数也可能取决于解 ( X, Y ) 的分布,并且包含一个特殊的结构 η. 我们用延拓法证明了分数阶MF-FBSDE解的存在唯一性。

更新日期:2022-07-08
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