Mean-field backward stochastic differential equations on Markov chains
Probability
2015-01-06 v1
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.
Cite
@article{arxiv.1501.00955,
title = {Mean-field backward stochastic differential equations on Markov chains},
author = {Wen Lu and Yong Ren},
journal= {arXiv preprint arXiv:1501.00955},
year = {2015}
}