Solvability of a class of mean-field BSDEs with quadratic growth
Tao Hao,
Jiaqiang Wen and
Jie Xiong
Statistics & Probability Letters, 2022, vol. 191, issue C
Abstract:
In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existence and uniqueness are proved for the multi-dimensional situation when the generator f(t,Y,E[Y],Z,E[Z]) is of quadratic growth with respect to the last four items, using some new methods. Besides, a kind of comparison theorem is obtained.
Keywords: Mean-field backward stochastic differential equation; Backward stochastic differential equation; Quadratic growth (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:191:y:2022:i:c:s0167715222001742
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DOI: 10.1016/j.spl.2022.109652
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