November 12, 2012 | RENÉ CARMONA AND FRANCOIS DELARUE
This paper presents an existence result for the solution of fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations arise in the study of mean field games and the optimal control of McKean-Vlasov type dynamics. The authors provide a general existence result that does not rely on strong linearity and convexity assumptions, which are typically used in previous works. The proof is based on Schauder's fixed point theorem and involves showing that the mapping from the control process to the solution of the FBSDE is continuous and has a relatively compact range. The result is applied to mean field games and the control of McKean-Vlasov dynamics, where the solution of the FBSDE corresponds to the value function of the game. The paper also includes a counter-example showing that uniqueness cannot be guaranteed under the given assumptions. The authors conclude that their result provides a general existence result for the solution of mean field FBSDEs, which is applicable to a wide range of problems in stochastic control and game theory.This paper presents an existence result for the solution of fully coupled Forward-Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations arise in the study of mean field games and the optimal control of McKean-Vlasov type dynamics. The authors provide a general existence result that does not rely on strong linearity and convexity assumptions, which are typically used in previous works. The proof is based on Schauder's fixed point theorem and involves showing that the mapping from the control process to the solution of the FBSDE is continuous and has a relatively compact range. The result is applied to mean field games and the control of McKean-Vlasov dynamics, where the solution of the FBSDE corresponds to the value function of the game. The paper also includes a counter-example showing that uniqueness cannot be guaranteed under the given assumptions. The authors conclude that their result provides a general existence result for the solution of mean field FBSDEs, which is applicable to a wide range of problems in stochastic control and game theory.