General Mean Reflected Backward Stochastic Differential Equations

Ying Hu (), Remi Moreau () and Falei Wang ()
Additional contact information
Ying Hu: Univ. Rennes, CNRS, IRMAR-UMR 6625
Remi Moreau: Univ. Rennes, CNRS, IRMAR-UMR 6625
Falei Wang: Shandong University

Journal of Theoretical Probability, 2024, vol. 37, issue 1, 877-904

Abstract: Abstract The present paper is devoted to the study of backward stochastic differential equations (BSDEs) with mean reflection formulated by Briand et al. (Ann Appl Probab 28(1):482–510, 2018). We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on the distribution of solution term Y. Using a fixed-point argument, BMO martingale theory and the $$\theta $$ θ -method, we establish existence and uniqueness results for such BSDEs in several typical situations, including the case where the driver is quadratic with bounded or unbounded terminal condition.

Keywords: Mean reflection; Fixed-point method; $$\theta $$ θ -method; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-023-01288-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01288-z

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-023-01288-z

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().