General Mean-Field BDSDEs with Continuous and Stochastic Linear Growth Coefficients  

作　　者：WANG Jinghan SHI Yufeng ZHAO Nana 

机构地区：[1]Institute for Financial Studies,Shandong University,Jinan 250100,China [2]Zhiyuan School of Liberal Arts,Beijing Institute of Petrochemical Technology,Beijing 102617,China

出　　处：《Journal of Systems Science & Complexity》2024年第5期1887-1906,共20页系统科学与复杂性学报（英文版）

基　　金：supported by the Zhiyuan Science Foundation of BIPT under Grant No.2024212;National Key R&D Program of China under Grant No.2018YFA0703900;the National Natural Science Foundation of China under Grant Nos.11871309 and 11371226;Natural Science Foundation of Shandong Province under Grant No.ZR2020QA026.

摘　　要：In this paper,the authors study a class of general mean-field BDSDEs whose coefficients satisfy some stochastic conditions.Specifically,the authors prove the existence and uniqueness theorem of solution under stochastic Lipschitz condition and obtain the related comparison theorem.Besides,the authors further relax the conditions and deduce the existence theorem of solutions under stochastic linear growth and continuous conditions,and the authors also prove the associated comparison theorem.Finally,an asset pricing problem is discussed,which demonstrates the application of the general meanfield BDSDEs in finance.

关 键 词：Backward doubly stochastic differential equations comparison theorem MEAN-FIELD stochastic conditions Wasserstein metric 

分 类 号：O211.63[理学—概率论与数理统计]