MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS

DOI10.4134/BKMS.b150007zbMath1361.60045arXiv1501.00955OpenAlexW2964029362MaRDI QIDQ2973413

Yong Ren, Wen Lu

Publication date: 3 April 2017

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00955

zbMATH Keywords

comparison theoremcontinuous-time Markov chainsmean field backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic integral equations (60H20)

Related Items (2)

Multi-valued backward stochastic differential equations with regime switching ⋮ Reflection positivity, duality, and spectral theory

This page was built for publication: MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS ON MARKOV CHAINS