Mean-field backward stochastic differential equations with continuous coefficients
2011
In this paper we consider the existence result of one dimensional mean-field backward stochastic differential equations (MFBSDEs) when their coefficients are continuous, non-decreasing in n, and have a linear growth. We get an existence of the minimal solution and a comparison theorem for such kind of MFBSDEs.
Keywords:
- Stochastic partial differential equation
- Separable partial differential equation
- Examples of differential equations
- Mathematical optimization
- Backward differentiation formula
- Stochastic differential equation
- C0-semigroup
- Mathematical analysis
- Runge–Kutta method
- Linear differential equation
- Mathematics
- Comparison theorem
- Numerical partial differential equations
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