Mean-field backward stochastic differential equations in general probability spaces

Wen Lu, Yong Ren and Lanying Hu

Applied Mathematics and Computation, 2015, vol. 263, issue C, 1-11

Abstract: In this paper, we deal with a class of mean-field backward stochastic differential equations in continuous time with an arbitrary filtered probability space. We prove the existence and uniqueness of a solution for those equations with strengthened Lipschitz assumption. A comparison theorem is also established.

Keywords: Mean-field backward stochastic; Differential equation; Stieltjes measure; Comparison theorem (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:263:y:2015:i:c:p:1-11

DOI: 10.1016/j.amc.2015.04.014

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