학술논문
MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS
Document Type
Article
Source
대한수학회보, 54(1), pp.17-28 Jan, 2017
Subject
Language
English
ISSN
2234-3016
1015-8634
1015-8634
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.