Propagation of chaos for mean-field reflected BSDEs with jumps

Yiqing Lin and Kun Xu

Statistics & Probability Letters, 2025, vol. 221, issue C

Abstract: In this paper, we study a class of mean-field reflected backward stochastic differential equations (MF-RBSDEs) driven by a marked point process and also analyze MF-RBSDEs driven by a Poisson process. Based on a g-expectation representation lemma, we establish the existence and uniqueness of the particle system of MF-RBSDEs driven by a marked point process under Lipschitz generator conditions and obtain a convergence result of this system. In the Poisson setting, we obtain furthermore the convergence rate of the corresponding particle system toward the solution to the MF-RBSDEs driven by a Poisson process under bounded terminals and bounded obstacle conditions.

Keywords: Mean-field; Reflected BSDEs; Particle system; Convergence results (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110382

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