MEAN-FIELD BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

    Authors

    Y. F. Shi; T. X. Wang;J. M. Yong

    Comments

    Authors: contact us about adding a copy of your work at [email protected]

    Abbreviated Journal Title

    Discrete Contin. Dyn. Syst.-Ser. B

    Keywords

    Mean-field stochastic Volterra integral equation; mean-field backward; stochastic Volterra integral equation; duality principle; maximum; principle; MCKEAN-VLASOV EQUATION; HILBERT-SPACE; DIFFERENTIAL-EQUATION; EVOLUTION; EQUATION; ADAPTED SOLUTION; LIMIT; DIFFUSIONS; REGULARITY; DYNAMICS; Mathematics, Applied

    Abstract

    Mean-field backward stochastic Volterra integral equations (MF-BSVIEs, for short) are introduced and studied. Well-posedness of MF-BSVIEs in the sense of introduced adapted M-solutions is established. Two duality principles between linear mean-field (forward) stochastic Volterra integral equations (MF-FSVIEs, for short) and MF-BSVIEs are obtained. A Pontryagin's type maximum principle is established for an optimal control of MF-FSVIEs.

    Journal Title

    Discrete and Continuous Dynamical Systems-Series B

    Volume

    18

    Issue/Number

    7

    Publication Date

    1-1-2013

    Document Type

    Article

    Language

    English

    First Page

    1929

    Last Page

    1967

    WOS Identifier

    WOS:000319859800011

    ISSN

    1531-3492

    Share

    COinS
     

    Accessibility Statement

    This item was created or digitized prior to April 24, 2027, or is a reproduction of legacy media created before that date. It is preserved in its original, unmodified state specifically for research, reference, or historical recordkeeping. In accordance with the ADA Title II Final Rule, the University Libraries provides accessible versions of archival materials upon request. To request an accommodation for this item, please submit an accessibility request form.