Lp-solutions of multi-dimensional BSDEs with mean reflection

Yue Niu, Baoyou Qu and Falei Wang

Stochastic Processes and their Applications, 2025, vol. 187, issue C

Abstract: The present paper focuses on the investigation of multi-dimensional mean reflected backward stochastic differential equations (BSDEs) in a possibly non-convex reflection domain, whose generator also depends on the marginal probability distributions of the solution (Y,Z). Our main idea is to decompose the mean reflected BSDE into a BSDE and a deterministic Skorokhod problem. Then, utilizing Lp-estimates for BSDEs and Skorokhod problems, we explore the solvability of Lp-solutions (p>1) through fixed-point argument and an approximation approach under both inward normal and oblique reflection scenarios.

Keywords: Mean reflected BSDE; Multi-dimensional; Inward normal direction; Oblique direction (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spa.2025.104663

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