Mean-field and anticipated BSDEs with time-delayed generator
Document Type
Article
Publication Date
2-1-2023
Abstract
In this paper, we discuss a new type of mean-field anticipated backward stochastic differential equation with a time-delayed generator (MF-DABSDEs) which extends the results of the anticipated backward stochastic differential equation to the case of mean-field limits, and in which the generator considers not only the present and future times but also the past time. By using the fixed point theorem, we shall demonstrate the existence and uniqueness of the solutions to these equations. Finally, we shall establish a comparison theorem for the solutions.
Keywords
Anticipated backward stochastic differential equations, Mean-field limits, Time-delayed, Comparison theorem
Divisions
MathematicalSciences
Funders
None
Publication Title
Mathematics
Volume
11
Issue
4
Publisher
MDPI
Publisher Location
ST ALBAN-ANLAGE 66, CH-4052 BASEL, SWITZERLAND