Title

Mean-Field Backward Stochastic Volterra Integral Equations

Keywords

Duality principle; Maximum principle; Mean-field backward stochastic Volterra integral equation; Mean-field stochastic Volterra integral equation

Abstract

Mean-field backward stochastic Volterra integral equations (MFBSVIEs, 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.

Publication Date

9-1-2013

Publication Title

Discrete and Continuous Dynamical Systems - Series B

Volume

18

Issue

7

Number of Pages

1929-1967

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.3934/dcdsb.2013.18.1929

Socpus ID

84879105336 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84879105336

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