Title

MEAN-FIELD BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

Authors

Authors

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

Comments

Authors: contact us about adding a copy of your work at STARS@ucf.edu

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

DOI Link

http://dx.doi.org/10.3934/dcdsb.2013.18.1929

Language

English

First Page

1929

Last Page

1967

WOS Identifier

WOS:000319859800011

ISSN

1531-3492

Recommended Citation

"MEAN-FIELD BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS" (2013). Faculty Bibliography 2010s. 4692.
https://stars.library.ucf.edu/facultybib2010/4692