Mean-field backward stochastic differential equations on Markov chains

Published 2 Jan 2015 in math.PR | (1501.00955v1)

Abstract: In this paper, we deal with a class of mean-field backward stochastic differential equations (BSDEs) related to finite state, continuous time Markov chains. We obtain the existence and uniqueness theorem and a comparison theorem for solutions of one-dimensional mean-field BSDEs under Lipschitz condition.

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