Generalized Mean-Field Fractional BSDEs With Non-Lipschitz Coefficients | Zendy

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Generalized Mean-Field Fractional BSDEs With Non-Lipschitz Coefficients

Author(s) -

Qun Shi

Publication year - 2021

Publication title -

international journal of statistics and probability

Language(s) - English

Resource type - Journals

eISSN - 1927-7040

pISSN - 1927-7032

DOI - 10.5539/ijsp.v10n3p77

Subject(s) - mathematics , lipschitz continuity , stochastic differential equation , mean field theory , brownian motion , type (biology) , fractional brownian motion , geometric brownian motion , comparison theorem , mathematical analysis , field (mathematics) , pure mathematics , diffusion process , statistics , computer science , ecology , knowledge management , physics , innovation diffusion , quantum mechanics , biology

In this paper we consider one dimensional generalized mean-field backward stochastic differential equations (BSDEs) driven by fractional Brownian motion, i.e., the generators of our mean-field FBSDEs depend not only on the solution but also on the law of the solution. We first give a totally new comparison theorem for such type of BSDEs under Lipschitz condition. Furthermore, we study the existence of the solution of such mean-field FBSDEs when the coefficients are only continuous and with a linear growth.

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