Bull. Korean Math. Soc. 2017; 54(1): 17-28
Online first article December 21, 2016 Printed January 31, 2017
https://doi.org/10.4134/BKMS.b150007
Copyright © The Korean Mathematical Society.
Wen Lu and Yong Ren
Yantai University, Anhui Normal University
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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