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

页码：1986 / 1994

页数：9

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