• Title/Summary/Keyword: mean-field backward stochastic differential equations

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MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS

  • Lu, Wen;Ren, Yong
    • Bulletin of the Korean Mathematical Society
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    • v.54 no.1
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    • pp.17-28
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    • 2017
  • 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.