Backward Stochastic Differential Equations with Double Mean Reflections

Hanwu Li
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Hanwu Li: Center for Mathematical Economics, Bielefeld University

No 736, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: : In this paper, we study the backward stochastic differential equation (BSDE) with two non- linear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward Skorokhod problem with nonlinear constraints, we obtain the existence and uniqueness result by constructing a contraction map- ping. When the constraints are linear, the solution can be approximated by a family of penalized mean-field BSDEs.

Keywords: backward stochastic differential equations; double mean reflections; backward Sko- rokhod problem; nonlinear reflections (search for similar items in EconPapers)
Pages: 22
Date: 2025-08-15
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:736

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