Mean-field backward stochastic differential equations on Markov chains
Bull. Korean Math. Soc. 2017 Vol. 54, No. 1, 17-28
Published online December 21, 2016
Printed January 31, 2017
Wen Lu and Yong Ren
Yantai University, Anhui Normal University
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
MSC numbers : Primary 60H20, 60H10
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