General Mean-Field BDSDEs with Stochastic Linear Growth and Discontinuous Generator

Yufeng Shi and Jinghan Wang ()
Additional contact information
Yufeng Shi: Institute for Financial Studies, Shandong University, Jinan 250100, China
Jinghan Wang: Institute for Financial Studies, Shandong University, Jinan 250100, China

Mathematics, 2024, vol. 12, issue 7, 1-15

Abstract: In this paper, we consider the general mean-field backward doubly stochastic differential equations (mean-field BDSDEs) whose generator f can be discontinuous in y . We prove the existence theorem of solutions under stochastic linear growth conditions and also obtain the related comparison theorem. Naturally, we present those results under the linear growth condition, which is a special case of the stochastic condition. Finally, a financial claim sale problem is discussed, which demonstrates the application of the general mean-field BDSDEs in finance.

Keywords: backward doubly stochastic differential equations; mean-field; Wasserstein metric; discontinuous; stochastic linear growth (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/12/7/978/pdf (application/pdf)
https://www.mdpi.com/2227-7390/12/7/978/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:12:y:2024:i:7:p:978-:d:1363572

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().