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Mean‐field backward stochastic differential equation with non‐Lipschitz coefficient
Author(s) -
Wang Guangchen,
Zhang Huanjun
Publication year - 2020
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.2087
Subject(s) - lipschitz continuity , uniqueness , mathematics , stochastic differential equation , field (mathematics) , mathematical analysis , mean field theory , differential equation , differential (mechanical device) , pure mathematics , physics , thermodynamics , quantum mechanics
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.