Mean-field backward stochastic differential equations on Markov chains

Wen Lu; Yong Ren

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arXiv · 1501.00955

Mean-field backward stochastic differential equations on Markov chains

Wen Lu·Yong Ren

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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.

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Wen Lu, Yong Ren. 2015-01-02. Mean-field backward stochastic differential equations on Markov chains. https://arxiv.org/abs/1501.00955

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