Department of Mathematics

Probability

  •  Soukaina Douissi , Cadi Ayyad University, Marrakech, Morocco
  •  Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
  •  11/29/2018
  •  3:00 PM - 3:50 PM
  •  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.

 

Contact

Department of Mathematics
Michigan State University
619 Red Cedar Road
C212 Wells Hall
East Lansing, MI 48824

Phone: (517) 353-0844
Fax: (517) 432-1562

College of Natural Science