Mean-Field Backward Doubly Stochastic Differential Equations and Its Applications

摘要：

In this paper, firstly we get the existence and uniqueness theorem of one dimensional mean-field backward doubly stochastic differential equations (MFBDSDEs) when the coefficients satisfy assumptions (B1) and (B2), and we also obtain a generalized comparison theorem. Then we study the MFBDSDEs with non-Lipschitz coefficients which satisfy (B3)-(B6), we prove the existence of minimal solution in this case.

关键词： Mean-field Backward Doubly Stochastic Differential Equations Comparison Theorem

作者: DU Heng PENG Ying WANG Ye

作者单位: School of Mathematics and Statistics, Shandong University at Weihai, Weihai 264209, P.R.China Department of Computer Science and Technology, Shandong University, Jinan 250101, P.R.China

会议类型: 国际会议

会议名称: The 31st Chinese Control Conference(第三十一届中国控制会议)

会议地点: 合肥

会议语种:英文

页码: 1547-1552

在线出版日期: 2012-07-01（万方平台首次上网日期，不代表论文的发表时间）