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math.PR2014★ 4 cited
Backward stochastic differential equations with unbounded generators
Bujar Gashi, Jiajie Li
In this paper we consider two classes of backward stochastic differential equations. Firstly, under a Lipschitz-type condition on the generator of the equation, which can also be u…
math.PR2011★ 70 cited
Mean Field Games and Nonlinear Markov Processes
Vassili N. Kolokoltsov, Jiajie Li, Wei Yang
In this paper, we investigate the mean field games with classes of agents who are weakly coupled via the empirical measure. The underlying dynamics of the representative agents…