BSDE with Jumps When Mean Reflection Is Nonlinear

Winfrida Felix Mwigilwa, Farai Julius Mhlanga and Bilal Bilalov

International Journal of Mathematics and Mathematical Sciences, 2024, vol. 2024, 1-16

Abstract: In this paper, we investigate a reflected backward stochastic differential equation (RBSDE) with jumps, focusing on cases where the mean reflection is nonlinear. Unlike traditional RBSDEs, this particular type of RBSDE imposes a constraint defined by the mean of a loss function that does not follow the continuous condition. We start by deriving an a priori estimate of the solution, followed by establishing the uniqueness and existence of the solution. Theoretical results are illustrated by way of an example of the application of super-hedging to the reinsurance and investment problem under a risk constraint.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:9963889

DOI: 10.1155/2024/9963889

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