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Mean-field backward stochastic differential equations on Markov chains by Lu, Wen; Ren, Yong is a scholarly article available to read on EtoBox.

What is Mean-field backward stochastic differential equations on Markov chains about?

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.

Author

Lu, Wen; Ren, Yong

Published

2015

Language

EN