Particles Systems for mean reflected BSDEs

Philippe Briand and Hélène Hibon

Stochastic Processes and their Applications, 2021, vol. 131, issue C, 253-275

Abstract: In this paper, we study Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in Briand et al. (2018). We extend the recent work Briand et al. (2020) of Briand, Chaudru de Raynal, Guillin and Labart on the chaos propagation for mean reflected SDEs to the backward framework. When the driver does not depend on z, we are able to study general reflections for the particles system. We consider linear reflection when the driver depends also on z. In both cases, we get the rate of convergence of the particles system towards the square integrable deterministic flat solution to the mean reflected BSDE.

Date: 2021
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DOI: 10.1016/j.spa.2020.09.010

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