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

Date: 11/29/2018

Time: 3:00 PM - 3:50 PM

Place: C405 Wells Hall

In this talk, we introduce a new type of BSDEs, we call it mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by a fractional Brownian motion with Hurst parameter H>1/2. We will show that it's possible to prove the existence and uniqueness of this new type of BSDEs using two different approaches. Then, we will present a comparison theorem for such BSDEs. Finally, as an application of this type of equations, a related stochastic optimal control problem is studied.
This is a joint work with Yufeng Shi and Jiaqiang Wen : Institute for Financial Studies and School of Mathematics, Shandong University, Jinan 250100, China.