Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games

Yinggu Chen, Boualem Djehiche, Said Hamadène

Research output: Contribution to journalArticlepeer-review

Abstract

We study a general class of fully coupled backward-forward stochastic differential equations of mean-field type (MF-BFSDE). We derive existence and uniqueness results for such a system under weak monotonicity assumptions and without the non-degeneracy condition on the forward equation. This is achieved by suggesting an implicit approximation scheme that is shown to converge to the solution of the system of MF-BFSDE. We apply these results to derive an explicit form of open-loop Nash equilibrium strategies for nonzero sum mean-field linear-quadratic stochastic differential games with random coefficients. These strategies are valid for any time horizon of the game.

Original languageEnglish (US)
Article number2150036
JournalStochastics and Dynamics
Volume21
Issue number6
DOIs
StatePublished - Sep 1 2021

Keywords

  • Backward SDEs
  • Mean-field
  • Nonlinear diffusion process
  • Nonzero-sum game
  • Open loop Nash equilibrium
  • Optimal control

ASJC Scopus subject areas

  • Modeling and Simulation

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