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Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations

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  • Sin, Myong-Guk
  • Ri, Kyong-Il
  • Kim, Kyong-Hui

Abstract

We study a coupled fractional mean-field forward–backward stochastic differential equation (MF-FBSDE), in which the coefficients involved could also depend upon the distribution of the solution (X, Y), and which contains a special structure η. We prove the existence and uniqueness of a solution of the fractional MF-FBSDE by using the method of continuation.

Suggested Citation

  • Sin, Myong-Guk & Ri, Kyong-Il & Kim, Kyong-Hui, 2022. "Existence and uniqueness of solution for coupled fractional mean-field forward–backward stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 190(C).
    • Handle: RePEc:eee:stapro:v:190:y:2022:i:c:s0167715222001481
    DOI: 10.1016/j.spl.2022.109608
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    References listed on IDEAS

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