arXiv2026
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interaction in their generators in a general setting, where the drivers are square-integrable martingales, typically with independent increments, and the filtrations are (possibly) stochastically discontinuous. In other words, we consider discrete- and continuous-time systems of mean-field BSDEs and McKean-Vlasov BSDEs in a unified setting. Moreover, the measure in the generator depends on all components of the solution process. We provide existence and uniqueness results for these BSDEs using adapted a priori estimates that utilize the stochastic exponential. Then, we derive propagation of chaos results for systems of particles that satisfy BSDEs, i.e. we show that the asymptotic behavior of the solutions of mean-field systems of BSDEs, as the multitude of the systems grows to infinity, converges to I.I.D. solutions of McKean-Vlasov BSDEs. We introduce a new coupling technique for showing the backward propagation of chaos, that makes repeated use of the a priori estimates, inequalities for the Wasserstein distance and the ''conservation of solutions'' under different filtrations. This new approach does not require the solutions of the mean field systems to be exchangeable or symmetric, which also allows to consider cases with multiple generators. Finally, we deduce convergence rates for the propagation of chaos, under advanced integrability conditions on the solutions of the BSDEs.