Title :
Mean-field backward doubly stochastic differential equations and its applications
Author :
Heng, Du ; Ying, Peng ; Ye, Wang
Author_Institution :
Sch. of Math. & Stat., Shandong Univ. at Weihai, Weihai, China
Abstract :
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.
Keywords :
differential equations; stochastic processes; MFBDSDE; dimensional mean-field backward doubly stochastic differential equations; existence theorem; generalized comparison theorem; nonLipschitz coefficients; uniqueness theorem; Differential equations; Educational institutions; Electronic mail; Random variables; Standards; Stochastic processes; Yttrium; Comparison Theorem; Mean-field Backward Doubly Stochastic Differential Equations;
Conference_Titel :
Control Conference (CCC), 2012 31st Chinese
Conference_Location :
Hefei
Print_ISBN :
978-1-4673-2581-3
