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 language | English (US) |
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Article number | 2150036 |
Journal | Stochastics and Dynamics |
Volume | 21 |
Issue number | 6 |
DOIs | |
State | Published - 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