Mean reflected backward stochastic differential equations with jumps in a convex domain

Hongchao Qian

Statistics & Probability Letters, 2025, vol. 223, issue C

Abstract: In this paper, we study a class of multi-dimensional mean reflected backward stochastic differential equations driven by a Brownian motion and an independent Poisson random measure. In our setting, the constraint depends on the law of the solution rather than on its paths. Specifically, the expectation of the solution takes values in a convex domain in Rn. The existence and uniqueness of solutions are established by a penalization method.

Keywords: Backward stochastic differential equation; Poisson random measure; Mean reflection; Penalization (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110426

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