Mean-field doubly reflected backward stochastic differential equations

DOI10.3934/NACO.2022012MaRDI QIDQ6164087zbMATH OpenOpenAlexWikidataFDO

Authors Yinggu Chen, Said Hamadène, Tingshu Mu

Publication date 26 July 2023

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.04598

zbMATH Keywords

penalizationDynkin gamemean-fieldreflected backward SDEs

Mathematics Subject Classification ID

Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

Abstract: We study mean-field doubly reflected BSDEs. First, using the fixed point method, we show existence and uniqueness of the solution when the data which define the BSDE are $p$-integrable with $p=1$ or $p>1$. The two cases are treated separately. Next by penalization we show also the existence of the solution. The two methods do not cover the same set of assumptions.

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Cited in

(12)

• Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain
• Backward doubly-stochastic differential equations with mean reflection
• Mean reflected stochastic differential equations with two constraints
• Backward Stochastic Differential Equations with Double Mean Reflections
• Quadratic mean-field reflected BSDEs
• On Z-mean reflected BSDEs
• General mean reflected backward stochastic differential equations
• General mean-field reflected backward stochastic differential equations with locally monotone coefficients
• General coupled mean-field reflected forward-backward stochastic differential equations
• Mean-field reflected backward doubly stochastic DE with continuous coefficients
• Mean-field reflected backward stochastic differential equations
• Mean-field reflected backward stochastic differential equations

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