KTH Mathematics

Mean-field backward stochastic differential equations and applications N Agram, Y Hu, B Oksendal arxiv::1801.03349 Summary: A BSDE with jumps and mean field interaction is considered. The driver is allowed to depend on the mean of a function F of the state Y and MG representation functions Z (diffusion) and K (jump). For the case of a F linear, a comparison principle is proven. List of papers Front page

Published by: Alexander Aurell Updated: 27-03-2018