Mean-Field Backward Stochastic Differential Equations Driven by Fractional Brownian Motion

作     者：Yu Feng SHI Jia Qiang WEN Jie XIONG Yu Feng SHI;Jia Qiang WEN;Jie XIONG

作者机构：Institute for Financial Studies and School of MathematicsShandong UniversityJinan 250100P.R.China Department of MathematicsSouthern University of Science and TechnologyShenzhen 518055P.R.China Department of Mat hematics and SUSTech International Center for MathematicsSouthern University of Science and TechnologyShenzhen 518055P.R.China 

出 版 物：《Acta Mathematica Sinica,English Series》 (数学学报（英文版）)

年 卷 期：2021年第37卷第7期

页      面：1156-1170页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the National Key R&D Program of China (Grant No. 2018YFA0703900) the National Natural Science Foundation of China (Grant Nos. 11871309 and 11371226) supported by China Postdoctoral Science Foundation (Grant No. 2019M660968) Southern University of Science and Technology Start up fund Y01286233 supported by Southern University of Science and Technology Start up fund Y01286120 the National Natural Science Foundation of China (Grants Nos. 61873325,11831010) 

主　　题：Mean-field backward stochastic differential equation fractional Brownian motion partial differential equation 

摘      要：In this paper,we study a new class of equations called mean-field backward stochastic differential equations(BSDEs,for short)driven by fractional Brownian motion with Hurst parameter H1/***,the existence and uniqueness of this class of BSDEs are ***,a comparison theorem of the solutions is ***,as an application,we connect this class of BSDEs with a nonlocal partial differential equation(PDE,for short),and derive a relationship between the fractional mean-field BSDEs and PDEs.