• 제목/요약/키워드: mean-field backward stochastic differential equations

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MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS

  • Lu, Wen;Ren, Yong
    • 대한수학회보
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    • 제54권1호
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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.

  • https://doi.org/10.4134/BKMS.b150007 인용 PDF KSCI