Mean-field reflected backward stochastic differential equations

Zhi Li and Jiaowan Luo

Statistics & Probability Letters, 2012, vol. 82, issue 11, 1961-1968

Abstract: In this paper, mean-field reflected backward stochastic differential equations (MF-RBSDEs, for short) are introduced and studied. We prove the existence and uniqueness of solutions for MF-RBSDEs under the Lipschitz condition by a fixed point argument. Under monotone assumptions for coefficients, we show a comparison theorem for MF-RBSDEs. We finally get an existence and a comparison theorem of the minimal solution when the coefficients are continuous, non-decreasing in y′ and have a linear growth.

Keywords: Mean-field reflected backward stochastic differential equations; Existence and uniqueness theorem; Comparison theorem (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2012.06.018

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