On Fast-Slow Mean-Field Forward-Backward Stochastic Systems

Source abstract

We establish an averaging principle for a class of multiscale mean-field forward-backward stochastic differential equations and identify several novel phenomena that are absent from classical fast-slow systems. In contrast with classical fast-slow systems, the effective dynamics cannot in general be obtained by simply freezing deterministic slow parameters and averaging against the invariant measure of the resulting fast equation. The appropriate averaging object is instead provided by a frozen fast dynamics in a random environment and its associated conditional invariant measures, which retain the coupling between the slow state and its distribution. The forward-backward structure creates a further obstruction: local averaging estimates need not remain stable when propagated over an arbitrary time horizon. We identify a uniform restart stability condition for the averaged system under which this obstruction can be overcome. Using a joint lifted semigroup for the state-law dynamics, together with a two-scale discretization and a Gordin-type decomposition, we prove strong averaging for both the forward and backward components with optimal convergence rate $O(\varepsilon^{1/2})$. As an application, we apply the general theory to a class of mean-field stochastic control problems and develop an efficient algorithm for solving such mean-field control problems.