Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151920 | Statistics & Probability Letters | 2013 | 9 Pages |
Abstract
Buckdahn et al. (2009b) introduced a mean-field stochastic differential equation to study the backward stochastic differential equation. The objective of the present paper is to deepen the investigation of such mean-field stochastic differential equations by studying them in a Brownian motion framework. By constructing a coupling, loglog-Harnack inequality and Harnack inequality with dimension-free are established for such mean-field stochastic differential equations.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gaofeng Zong, Zengjing Chen,