Mean‐field backward stochastic differential equation with non‐Lipschitz coefficient

descriptionPublicationkeyboard_double_arrow_right Article 31 Mar 2019 English Publisher:WileyJournal:Asian Journal of Control, volume 22, pages 1,986-1,994 (issn: 1561-8625, eissn: 1934-6093,

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Authors: Guangchen Wang; Huanjun Zhang;

doi: 10.1002/asjc.2087

Mean‐field backward stochastic differential equation with non‐Lipschitz coefficient

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Abstract

AbstractThis paper establishes a new existence and uniqueness result of a solution for one dimensional mean‐field backward stochastic differential equation (MFBSDE), where its coefficient is weaker than the classical Lipschitz case. An example is given to illustrate its applicability. This new solution will provide a key tool for studying mean‐field control problems.

Related Organizations

Shandong Women’s University
China (People's Republic of)
University of Jinan
China (People's Republic of)

Keywords

adapted solution, Bihari inequality, mean-field backward stochastic differential equation, Stochastic ordinary differential equations (aspects of stochastic analysis)

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