Mean reflected backward stochastic partial differential equations

DOI10.1016/J.SPL.2025.110580MaRDI QIDQ6880836zbMATH OpenFDO

Authors Hongchao Qian

Publication date 18 December 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110580

zbMATH Keywords

backward stochastic partial differential equationsmean reflectionpenalization

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Cites work

• A reflected stochastic heat equation as symmetric dynamics with respect to the 3-d Bessel bridge
• Backward doubly-stochastic differential equations with mean reflection
• Backward stochastic differential equations with reflection and Dynkin games
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• Particles systems and numerical schemes for mean reflected stochastic differential equations
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• Reflected BSDE with a constraint and its applications in an incomplete market
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflected BSDEs with monotone generator
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Systems of stochastic partial differential equations with reflection: existence and uniqueness
• The obstacle problem for quasilinear stochastic PDEs: analytical approach
• White noise driven quasilinear SPDEs with reflection
• White noise driven SPDEs with oblique reflection: existence and uniqueness
• White noise driven SPDEs with reflection

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