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Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations

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  • Sin, Myong-Guk
  • Ri, Kyong-Il
  • Kim, Kyong-Hui

Abstract

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.

Suggested Citation

  • Sin, Myong-Guk & Ri, Kyong-Il & Kim, Kyong-Hui, 2022. "Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 190(C).
    • Handle: RePEc:eee:stapro:v:190:y:2022:i:c:s0167715222001481
    DOI: 10.1016/j.spl.2022.109608
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    References listed on IDEAS

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    1. Douissi, Soukaina & Wen, Jiaqiang & Shi, Yufeng, 2019. "Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 282-298.
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    7. Qun Shi, 2021. "Generalized Mean-Field Fractional BSDEs With Non-Lipschitz Coefficients," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(3), pages 1-77, June.
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    9. Buckdahn, Rainer & Li, Juan & Peng, Shige, 2009. "Mean-field backward stochastic differential equations and related partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3133-3154, October.
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    Cited by:

    1. Kyong-Il, Ri & Myong-Guk, Sin, 2024. "Existence and uniqueness of solution for fully coupled fractional forward–backward stochastic differential equations with delay and anticipated term," Statistics & Probability Letters, Elsevier, vol. 206(C).

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