BSDEs with mean reflection
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Publication:1751973
DOI10.1214/17-AAP1310zbMATH Open1391.60133arXiv1605.06301OpenAlexW2405194164MaRDI QIDQ1751973FDOQ1751973
Authors: Philippe Briand, Romuald Elie, Ying Hu 
Publication date: 25 May 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: In this paper, we study a new type of BSDE, where the distribution of the Y-component of the solution is required to satisfy an additional constraint, written in terms of the expectation of a loss function. This constraint is imposed at any deterministic time t and is typically weaker than the classical pointwise one associated to reflected BSDEs. Focusing on solutions (Y, Z, K) with deterministic K, we obtain the well-posedness of such equation, in the presence of a natural Skorokhod type condition. Such condition indeed ensures the minimality of the enhanced solution, under an additional structural condition on the driver. Our results extend to the more general framework where the constraint is written in terms of a static risk measure on Y. In particular, we provide an application to the super hedging of claims under running risk management constraint.
Full work available at URL: https://arxiv.org/abs/1605.06301
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backward stochastic differential equationssuper-hedgingmean reflectionrisk management constraintSkorokhod type minimal condition
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (33)
- Mean-field doubly reflected backward stochastic differential equations
- Forward and backward stochastic differential equations with normal constraints in law
- Large deviation principle for the mean reflected stochastic differential equation with jumps
- Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients
- Reflected BSDE with a constraint and its applications in an incomplete market
- Transportation cost inequality for backward stochastic differential equations with mean reflection
- Numerical methods for Stochastic differential equations: two examples
- Backward doubly-stochastic differential equations with mean reflection
- Mean reflected BSDE driven by a marked point process and application in insurance risk management
- The mean field optimal switching problem: variational inequality approach
- Mean reflected stochastic differential equations with two constraints
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