Speaker : Professor Zheng Zhang (Renmin University of China)
Title : Well-posedness of Mean-Fi eld Type Forward-Backward Stochastic Differential Equations
Time : 2017-05-22 (Mon) 15:00 -
Place : Seminar Room 722, Institute of Mathematics (NTU Campus)
Abstract: Being motivated by a recent pioneer work Carmona and Delarue (2013), we propose in this talk a broad class of natural monotonicity conditions under which the unique existence of the solutions to Mean-Field Type (MFT) Forward-Backward Stochastic Differential Equations (FBSDE) can be established. Our conditions provided here are consistent with those normally adopted in the traditional FBSDE (without the interference of a mean- field) frameworks, and give a generic explanation on the unique existence of solutions to common MFT-FBSDEs, such as those in the linear-quadratic setting. Besides, the conditions are optimal in a certain sense that can elaborate on how their counter-example in Carmona and Delarue (2013) just fails to ensure its well-posedness. Finally, a stability theorem is also included.