BSDEs with mean reflection

DOI10.1214/17-AAP1310zbMath1391.60133arXiv1605.06301OpenAlexW2405194164MaRDI QIDQ1751973

Philippe Briand, Romuald Elie, Ying Hu

Publication date: 25 May 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.06301

zbMATH Keywords

backward stochastic differential equationssuper-hedgingmean reflectionrisk management constraintSkorokhod type minimal condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items (28)

Backward stochastic differential equations with mean reflection and two constraints ⋮ Large deviation principle for the mean reflected stochastic differential equation with jumps ⋮ A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries ⋮ Particles systems and numerical schemes for mean reflected stochastic differential equations ⋮ Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts ⋮ A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Quadratic BSDEs with mean reflection driven by G-brownian motion ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Backward doubly-stochastic differential equations with mean reflection ⋮ Mean-field doubly reflected backward stochastic differential equations ⋮ Dynamic Programming Equation for the Mean Field Optimal Stopping Problem ⋮ Reflecting image-dependent SDEs in Wasserstein space and large deviation principle ⋮ Multi-dimensional mean-reflected BSDEs driven by \(G\)-Brownian motion with time-varying non-Lipschitz coefficients ⋮ On Z-mean reflected BSDEs ⋮ General mean reflected backward stochastic differential equations ⋮ Numerical methods for Stochastic differential equations: two examples ⋮ Mean-field reflected backward stochastic differential equations ⋮ Forward and backward stochastic differential equations with normal constraints in law ⋮ Mean reflected stochastic differential equations with two constraints ⋮ Transportation cost inequality for backward stochastic differential equations with mean reflection ⋮ Quadratic BSDEs with mean reflection ⋮ BSDEs with mean reflection driven by \(G\)-Brownian motion ⋮ Mean-field backward stochastic differential equations driven by fractional Brownian motion ⋮ Solvability of a class of mean-field BSDEs with quadratic growth ⋮ Mean reflected stochastic differential equations with jumps ⋮ Quadratic mean-field reflected BSDEs ⋮ Optimal control of SDEs with expected path constraints and related constrained FBSDEs ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

Cites Work

• Adapted solution of a backward stochastic differential equation
• Reflected BSDE with a constraint and its applications in an incomplete market
• A note on existence and uniqueness for solutions of multidimensional reflected BSDEs
• Backward stochastic differential equations with reflection and Dynkin games
• Mean-field backward stochastic differential equations and related partial differential equations
• Switching problem and related system of reflected backward SDEs
• Backward stochastic differential equations with constraints on the gains-process
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• BSDEs with weak terminal condition
• A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Coherent Measures of Risk
• Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios
• Hedging contingent claims for a large investor in an incomplete market
• On the Starting and Stopping Problem: Application in Reversible Investments

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