Mean-field backward stochastic differential equation with non-Lipschitz coefficient

被引：6
|
作者：
Wang, Guangchen [1 ]
Zhang, Huanjun [1 ]
机构：
[1] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China
来源：
ASIAN JOURNAL OF CONTROL | 2020年 / 22卷 / 05期
基金：
中国国家自然科学基金;
关键词：
adapted solution; Bihari inequality; mean-field backward stochastic differential equation;
D O I：
10.1002/asjc.2087
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper establishes a new existence and uniqueness result of a solution for one dimensional mean-field backward stochastic differential equation (MFBSDE), where its coefficient is weaker than the classical Lipschitz case. An example is given to illustrate its applicability. This new solution will provide a key tool for studying mean-field control problems.
引用
收藏
页码：1986 / 1994
页数：9
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