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Mean-field and anticipated BSDEs with time-delayed generator

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 cons...

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Main Authors: Zhang, Pei, Mohamed, Nur Anisah, Ibrahim, Adriana Irawati Nur
Format: Article
Published: MDPI 2023
Subjects:
QA Mathematics
Online Access:http://eprints.um.edu.my/38757/
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spelling my.um.eprints.387572023-12-01T02:13:29Z http://eprints.um.edu.my/38757/ Mean-field and anticipated BSDEs with time-delayed generator Zhang, Pei Mohamed, Nur Anisah Ibrahim, Adriana Irawati Nur QA Mathematics 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. MDPI 2023-02 Article PeerReviewed Zhang, Pei and Mohamed, Nur Anisah and Ibrahim, Adriana Irawati Nur (2023) Mean-field and anticipated BSDEs with time-delayed generator. Mathematics, 11 (4). ISSN 2227-7390, DOI https://doi.org/10.3390/math11040888 <https://doi.org/10.3390/math11040888>. 10.3390/math11040888
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic QA Mathematics
spellingShingle QA Mathematics
Zhang, Pei
Mohamed, Nur Anisah
Ibrahim, Adriana Irawati Nur
Mean-field and anticipated BSDEs with time-delayed generator
description 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.
format Article
author Zhang, Pei
Mohamed, Nur Anisah
Ibrahim, Adriana Irawati Nur
author_facet Zhang, Pei
Mohamed, Nur Anisah
Ibrahim, Adriana Irawati Nur
author_sort Zhang, Pei
title Mean-field and anticipated BSDEs with time-delayed generator
title_short Mean-field and anticipated BSDEs with time-delayed generator
title_full Mean-field and anticipated BSDEs with time-delayed generator
title_fullStr Mean-field and anticipated BSDEs with time-delayed generator
title_full_unstemmed Mean-field and anticipated BSDEs with time-delayed generator
title_sort mean-field and anticipated bsdes with time-delayed generator
publisher MDPI
publishDate 2023
url http://eprints.um.edu.my/38757/
_version_ 1784511848667676672
score 13.19449

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