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http://dx.doi.org/10.4134/BKMS.b150007

MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS  

Lu, Wen (School of Mathematics and Informational Science Yantai University)
Ren, Yong (Department of Mathematics Anhui Normal University)
Publication Information
Bulletin of the Korean Mathematical Society / v.54, no.1, 2017 , pp. 17-28 More about this Journal
Abstract
In this paper, we deal with a class of mean-field backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We obtain the existence and uniqueness theorem and a comparison theorem for solutions of one-dimensional mean-field BSDEs under Lipschitz condition.
Keywords
mean-field backward stochastic differential equations; Markov chain; comparison theorem;
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