Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
Applied Mathematics and Computation, Volume 355, Year 2019
Notification
URL copied to clipboard!
In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H > 1/2. First, the existence and uniqueness of this new type of BSDEs are established using two different approaches. Then, a comparison theorem for such BSDEs is obtained. Finally, as an application of this type of equations, a related stochastic optimal control problem is studied.