most citedOptimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation

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math.PR2022

BSDEs generated by fractional space-time noise and related SPDEs

Yaozhong Hu, Juan Li, Chao Mi

This paper is concerned with the backward stochastic differential equations whose generator is a weighted fractional Brownian field: $Y_t=ξ+\int_t^T Y_s W (ds,B_s) -\int_t^T Z_sdB_…