数学物理学报(英文版) ›› 2020, Vol. 40 ›› Issue (4): 1116-1140.doi: 10.1007/s10473-020-0417-x

• 论文 • 上一篇    下一篇

$L^{p}$ SOLUTION OF GENERAL MEAN-FIELD BSDES WITH CONTINUOUS COEFFICIENTS

陈雅洁1, 邢传智2, 张晓2   

  1. 1. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, China;
    2. School of Mathematics and Statistics, Shandong University, Weihai 264209, China
  • 收稿日期:2019-03-12 修回日期:2019-12-24 出版日期:2020-08-25 发布日期:2020-08-21
  • 通讯作者: Chuanzhi XING E-mail:chuanzhixing@mail.sdu.edu.cn
  • 作者简介:Yajie CHEN,E-mail:yajiechen@mail.sdu.edu.cn;Xiao ZHANG,E-mail:zhangxiao176@126.com
  • 基金资助:
    The work was supported in part by the NSFC (11222110; 11871037), Shandong Province (JQ201202), NSFC-RS (11661130148; NA150344), 111 Project (B12023).

$L^{p}$ SOLUTION OF GENERAL MEAN-FIELD BSDES WITH CONTINUOUS COEFFICIENTS

Yajie CHEN1, Chuanzhi XING2, Xiao ZHANG2   

  1. 1. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, China;
    2. School of Mathematics and Statistics, Shandong University, Weihai 264209, China
  • Received:2019-03-12 Revised:2019-12-24 Online:2020-08-25 Published:2020-08-21
  • Contact: Chuanzhi XING E-mail:chuanzhixing@mail.sdu.edu.cn
  • Supported by:
    The work was supported in part by the NSFC (11222110; 11871037), Shandong Province (JQ201202), NSFC-RS (11661130148; NA150344), 111 Project (B12023).

摘要: In this paper we consider one dimensional mean-field backward stochastic differential equations (BSDEs) under weak assumptions on the coefficient. Unlike [3], the generator of our mean-field BSDEs depends not only on the solution $(Y,Z)$ but also on the law $P_{Y}$ of $Y$. The first part of the paper is devoted to the existence and uniqueness of solutions in $L^p$, $1< p\leq2$, where the monotonicity conditions are satisfied. Next, we show that if the generator $f$ is uniformly continuous in $(\mu,y,z)$, uniformly with respect to $(t,\omega)$, and if the terminal value $\xi$ belongs to $L^{p}(\Omega,\mathcal{F},P)$ with $1

关键词: general mean-field backward stochastic differential equations, monotonicity condition, continuous condition, uniformly continuous condition, L^{p

Abstract: In this paper we consider one dimensional mean-field backward stochastic differential equations (BSDEs) under weak assumptions on the coefficient. Unlike [3], the generator of our mean-field BSDEs depends not only on the solution $(Y,Z)$ but also on the law $P_{Y}$ of $Y$. The first part of the paper is devoted to the existence and uniqueness of solutions in $L^p$, $1< p\leq2$, where the monotonicity conditions are satisfied. Next, we show that if the generator $f$ is uniformly continuous in $(\mu,y,z)$, uniformly with respect to $(t,\omega)$, and if the terminal value $\xi$ belongs to $L^{p}(\Omega,\mathcal{F},P)$ with $1

Key words: general mean-field backward stochastic differential equations, monotonicity condition, continuous condition, uniformly continuous condition, L^{p

中图分类号: 

  • 60H10